Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324498 
Year of Publication: 
2019
Citation: 
[Journal:] Central European Economic Journal (CEEJ) [ISSN:] 2543-6821 [Volume:] 6 [Issue:] 53 [Year:] 2019 [Pages:] 70-85
Publisher: 
Sciendo, Warsaw
Abstract: 
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.
Subjects: 
Value-at-Risk
extreme value theory
forecasting
market risk
JEL: 
C53
C58
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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