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EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

100%
Chlebus M.
Central European Economic Journal
|
2017
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vol. 3
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issue 50
EN
In the study, the two-step EWS-GARCH models to forecast Value-at-Risk is presented. The EWS-GARCH allows different distributions of returns or Value-at-Risk forecasting models to be used in Value-at-Risk forecasting depending on a forecasted state of the financial time series. In the study EWS-GARCH with GARCH(1,1) and GARCH(1,1), with the amendment to the empirical distribution of random errors as a Value-at-Risk model in a state of tranquillity and empirical tail, exponential or Pareto distributions used to forecast Value-at-Risk in a state of turbulence were considered. The evaluation of Value-at-Risk forecasts was based on the Value-at-Risk forecasts and the analysis of loss functions. Obtained results indicate that EWS-GARCH models may improve the quality of Value-at-Risk forecasts generated using the benchmark models. However, the choice of best assumptions for the EWS-GARCH model should depend on the goals of the Value-at-Risk forecasting model. The final selection may depend on an expected level of adequacy, conservatism and costs of the model.
2
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

63%
Szubzda F., Chlebus M.
Central European Economic Journal
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2019
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vol. 6
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issue 53
EN
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in European countries, divided into two groups: emerging countries (Bulgaria, Czech Republic, Lithuania, Latvia, Poland, Slovakia and Hungary) and developed countries (England, France and Germany). Three states of economic situation were analysed: the pre-crisis (2007), the crisis (2008) and the post-crisis (2009) period as out-of-sample. The main conclusion obtained is the too slow process of adapting static EVT-based forecasts to market movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often exceeded.
3
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Ridesharing in the Polish Experience: A Study using Unified Theory of Acceptance and Use of Technology

51%
Cylwik S., Gabryelczak R., Chlebus M.
Central European Economic Journal
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2020
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vol. 7
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issue 54
EN
The main aim of this article is to examine the factors that influence the acceptance of ridesharing technologies in Polish society, including dynamic vanpooling on demand. The study was conducted using the UTAUT 2 model (Theory of Acceptance and Use of Technology). We have employed statistical and econometric data analyses such as factor analysis and linear regression using the Partial Least Square (PLS) method. Based on the review of the publications on ridesharing in the context of sharing economy, we have modified the UTAUT 2 model by supplementing it with the trust factor, which is a significant contribution to the development of this theory when applied to the acceptance of ridesharing technologies. Further, the outcomes allowed us to identify the factors that influence people's attitudes in using shared-ride technology (performance expectancy, hedonistic motivation and habit) and the intention to use this technology (effort expectancy, performance expectancy, price value, habit and trust). This study has practical implications as it has helped identify the factors that affect the acceptance of ridesharing technologies in Poland and these factors are significant for the suppliers of these technologies. The findings can certainly become a starting point for further research on other communities and the application of other models of technology.
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