Currency risk modelling by GARCH-copula model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087390" target="_blank" >RIV/61989100:27510/13:86087390 - 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
Currency risk modelling by GARCH-copula model
Original language description
Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to themean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically t
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
Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013
ISBN
978-80-7248-892-6
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
210-221
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 16, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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