Wybrane modele klasy GARCH w ocenie ryzyka portfela kontraktów na energię elektryczną
Selected GARCH models in energy contracts portfolio risk assessment
Author(s): Alicja Ganczarek-GamrotSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: GARCH models; portfolio; risk; market; energy market
Summary/Abstract: Based on Dynamic Conditional Correlation model (DCC) comparative risk analysis was made. The risk estimated by classical GARCH model was compared to the risk estimated by FIGARCH model. The analysis was made on the basis of portfolio, which was built from 24 contracts from Day Ahead Market of Polish Power Exchange in the period from 02.03.2009 to 27.02.2011.
Journal: Ekonometria
- Issue Year: 2011
- Issue No: 34
- Page Range: 255-262
- Page Count: 8
- Language: Polish