Comparing Various EWMA Model Estimators: Value at Risk Perspective
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329025" target="_blank" >RIV/00216208:11320/16:10329025 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Comparing Various EWMA Model Estimators: Value at Risk Perspective
Original language description
The exponentially weighted moving average (EWMA) model is a particular modelling scheme supported by RiskMetrics that is capable of predicting the current level of financial time series volatility. It is designed to track changes in conditional variance of financial returns by assigning exponentially decreasing weights to the observed past squared measurements. Recently, several on-line (i.e. recursive) estimation techniques suitable for this class of stochastic models have been introduced. These methods undoubtedly represent attractive alternatives to the common identification and calibration procedures (i.e. off-line or batch); they can estimate and control the process behaviour in real time. The aim of the paper is to examine different EWMA model estimators by using financial data. For instance, one might consider the Value at Risk (VaR) backtesting approach since Value at Risk predictions are relevant outputs of the RiskMetrics EWMA modelling framework (especially from the practical point of view). Therefore, various VaR backtests can be used to study the adequacy of different EWMA model estimators.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
265-270
Publisher name
TECHNICAL UNIVERSITY LIBEREC
Place of publication
LIBEREC
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000385239500046