VaR backtesting results under different volatility models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087389" target="_blank" >RIV/61989100:27510/13:86087389 - 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
VaR backtesting results under different volatility models
Original language description
Correct risk estimation is nowadays very important and no less challenging part of financial management. It is particularly crucial for financial institutions and their regulatory authorities. The simplest case is the risk estimation of invest-ment intostock market index. Different models can be applied for risk estima-tion in terms of Value at Risk. These models differ mainly in the stochastic pro-cess, which price (respectively returns) time series are assumed to follow. For all the models the accurate prediction of returns? volatility is fundamental. Alt-hough it was empirically shown that the returns of financial assets are hetero-scedastic, for simple models the homoscedasticity is usually assumed. More precise models take the heteroscedasticy into account. The paper examines the effect of different volatility models application on accuracy of VaR estimation for investment into stock market index. The accuracy is back-tested and the backtesting results are compared. The compariso
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
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
458-463
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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