The use of tests LRuc, LRind, LRcc on example of estimation of the Value-at-Risk for WIG, DAX and DJIA indices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F18%3APU129019" target="_blank" >RIV/00216305:26510/18:PU129019 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

The use of tests LRuc, LRind, LRcc on example of estimation of the Value-at-Risk for WIG, DAX and DJIA indices

Original language description

The subject matter discussed in the article concerns the application of the Value at Risk metric in risk measurement on capital markets. On the one hand, this risk is the result of continuous and dynamic growth of the network of interdependencies between financial markets, and, on the other hand, is the result of the occurrence of shock situations that may turn into a permanent crisis situation. An unexpected and significant increase in risk may, in turn, translate into significant losses of financial institutions, and in some extreme cases lead even to their collapse. Therefore, measuring market risk in a skilful manner provides the opportunity to protect against significant financial losses. Quantitative determination of market risk is also important due to the possibility of spreading financial markets shocks to real economies. The main research objective of this article is to assess the quality of the Value at Risk calculations performed for the capital markets of the United States, Germany, and Poland. The research was conducted in the time period 2000-2012, where the parameters of the DCC-GARCH model were estimated for the purpose of determining VaR. The assessment of quality was made based on the backtesting performed, where binominal tests were used and they took the form of the LRuc test, LRind test, and LRcc test.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mathematical Methods in Economics

ISBN

978-80-7378-371-6

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

636-641

Publisher name

MatfyzPress, Publishing House of the Faculty of Mathematics and Physics, Charles University Prague

Place of publication

Prague

Event location

Jindřichův Hradec

Event date

Sep 12, 2018

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000507455300110