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Erscheinungsjahr: 
2012
Quellenangabe: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 8 [Issue:] 2 [Publisher:] University of Information Technology and Management [Place:] Rzeszów [Year:] 2012 [Pages:] 25-33
Verlag: 
University of Information Technology and Management, Rzeszów
Zusammenfassung: 
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.
Schlagwörter: 
VaR
risk
GARCH
JEL: 
G10
C58
Dokumentart: 
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