Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906540" target="_blank" >RIV/62156489:43110/15:43906540 - isvavai.cz</a>
Result on the web
<a href="http://acta.mendelu.cz/media/pdf/actaun_2015063041287.pdf" target="_blank" >http://acta.mendelu.cz/media/pdf/actaun_2015063041287.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201563041287" target="_blank" >10.11118/actaun201563041287</a>
Alternative languages
Result language
angličtina
Original language name
Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
Original language description
The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.Vine copula approach allows us to construct high-dimensional copula from both elliptical and Archimedean bivariate copulas, i.e. multivariate probability distribution, created from process innovations. Due to a deeper shortage of existing domestic results or comparison studies with advanced volatility governed VaR forecasts we backtested D-Vine copula ARMA-GARCH model against the VaR rolling out of sample forecast from October 2012 to April 2014 of chosen benchmark models, e.g. multivariate VAR-GO-GARCH, VAR-DCC-GARCH and univariate ARMA-GARCH type models. Common backtesting via Kupiec and Christoffersen procedures offer generalization that technological superiority of model supports accuracy only in case of an univariate modeling - wo
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
63
Issue of the periodical within the volume
4
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
9
Pages from-to
1287-1295
UT code for WoS article
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EID of the result in the Scopus database
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