Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43912765" target="_blank" >RIV/62156489:43110/17:43912765 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.11118/actaun201765051687" target="_blank" >https://doi.org/10.11118/actaun201765051687</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765051687" target="_blank" >10.11118/actaun201765051687</a>
Alternative languages
Result language
angličtina
Original language name
Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company
Original language description
The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock Exchange in range from January 2011 to June 2016. HMM approach allows us to classify time series into different states based on their development characteristic. Due to a deeper shortage of existing domestic results or comparison studies with advanced volatility governed VaR forecasts we tested HMM with univariate ARMA-GARCH model based VaR estimates. The common testing via Kupiec and Christoffersen procedures offer generalization that HMM model performs better that volatility based VaR estimation technique in terms of accuracy, even with the simpler HMM with normal-mixture distribution against previously used GARCH with many types of non-normal innovations.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2017
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
65
Issue of the periodical within the volume
5
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
1687-1694
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85042848371