Backtesting VaR Estimation under GARCH and GJR-GARCH Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087388" target="_blank" >RIV/61989100:27510/13:86087388 - isvavai.cz</a>
Result on the web
<a href="http://msed.vse.cz/files/2013/191-Kresta-Ales-paper.pdf" target="_blank" >http://msed.vse.cz/files/2013/191-Kresta-Ales-paper.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Backtesting VaR Estimation under GARCH and GJR-GARCH Models
Original language description
The important and no less interesting part of financial risk management is the risk modelling. Commonly utilized measure of risk (not only by banks and insurance companies) is Value at Risk. Since the financial time series are typical by non-constant volatility over time, it is crucial for Value at Risk calculation to model the standard deviation of returns correctly. In the paper we assume (relatively simple) models based on GARCH and GJR-GARCH models with Student distributions of innovations. These models are back-tested assuming the investment into Prague stock market index. The period utilized for back-testing is from 1993 till 2012, i.e. 4,627 daily values. The evaluation is made by means of the detected number of exceptions, i.e. the cases in which the observed losses were bigger than estimated Value at Risk on a given probability level. Also well-known statistical tests due to Kupiec and Christoffersen are utilized. According to results the assumed models are not accurate ? the
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
The 7th International Days of Statistics and Economics : conference proceedings : September 19-21, 2013, Prague, Czech Republic
ISBN
978-80-86175-87-4
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
700-710
Publisher name
Melandrium
Place of publication
Slaný
Event location
Praha
Event date
Sep 19, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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