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e-Finanse: Financial Internet Quarterly >
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| Title: | | Arima-Garch models in estimating market risk using value at risk for the WIG20 index  |
| Authors: | | Makiel, Kamil |
| Issue Date: | | 2012 |
| Citation: | | [Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 8 [Year:] 2012 [Issue:] 2 [Pages:] 25-33 |
| Abstract: | | 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. |
| Subjects: | | VaR risk GARCH |
| JEL: | | G10 C58 |
| Document Type: | | Article |
| Appears in Collections: | | e-Finanse: Financial Internet Quarterly
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