Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Finansowy Kwartalnik Internetowy e-Finanse

Authors help

  1. 1 Makiel K.

Years help

  1. 1 2012

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

ARIMA-GARCH MODELS IN ESTIMATING MARKET RISK USING VALUE AT RISK FOR THE WIG20 INDEX

100%
Makiel K.
Finansowy Kwartalnik Internetowy e-Finanse
|
2012
|
vol. 8
|
issue 2
25-33
EN
This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.