EconStor >
University of Information Technology and Management, Rzeszów >
e-Finanse: Financial Internet Quarterly >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/66733
  
Title:Arima-Garch models in estimating market risk using value at risk for the WIG20 index PDF Logo
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

Files in This Item:
File Description SizeFormat
721368557.pdf336.41 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/66733

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.