ARIMA-GARCH models in estimating market risk using value at risk for the WIG20 index
ARIMA-GARCH models in estimating market risk using value at risk for the WIG20 index
Author(s): Kamil MakiełaSubject(s): National Economy, Accounting - Business Administration, Socio-Economic Research
Published by: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Keywords: VaR; risk; GARCH;
Summary/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.
Journal: Financial Internet Quarterly
- Issue Year: 8/2012
- Issue No: 2
- Page Range: 25-33
- Page Count: 9
- Language: English
