Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/219818 
Year of Publication: 
2016
Series/Report no.: 
Institute of Economic Research Working Papers No. 35/2016
Publisher: 
Institute of Economic Research (IER), Toruń
Abstract: 
The article concentrates on modelling of volatility of capital markets and estimation of Value-at-Risk. The aim of the article is the description of volatility and interdependencies among three indices: WIG (Poland), DAX (Germany) and DJIA (United States). In order to measure the volatility and strength of interdependencies DCC-GARCH-In model was used, where an impact of the volatility of other markets is additionally taken into consideration during construction of the model. The conducted research for the years 2000-2012 confirmed the presence of interactions among selected capital markets. Next, the model DCC-GARCH-In was applied for evaluation of Value-at-Risk and the obtained measure was assessed with application of backtesting procedure. The results confirm that including volatility in the variance in DCC-GARCH-In model enables better assessment of VaR measure.
Subjects: 
capital market
value-at-risk
backtesting
DCC-GARCH model
conditional variance
JEL: 
G15
C58
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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