Value at risk estimation of the market indexes via GARCH model: Evidence from Visegrad countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F19%3A63523563" target="_blank" >RIV/70883521:28120/19:63523563 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Value at risk estimation of the market indexes via GARCH model: Evidence from Visegrad countries
Original language description
Stock markets stand as an important element within the financial system. Financial crises of 2008 showed that stock market crash influence the real economy. On the other hand, economic and financial globalization has created interdependency within national economies. The current research tends to measure risk exposure of the Visegrad stock markets (Czech Republic, Hungary, Poland and Slovakia). One of the indicators of the risk exposer of a financial assets is value at risk. In this study, value at risk is estimated using GARCH model in a dataset of almost three thousand working days per each stock markets. White noise process and ARIMA (1, 1) were applied to get more robust results. The worse stock index among Visegrad countries was identified SAX (Bratislava index, Slovakia) and the most promising one was BUX (Budapest index, Hungary). Value at risk is a useful tool that investors can use to analyze the performance of a share or market index in terms of risk exposure. Furthermore, it can be used even as an instrument to forecast the level of risk exposure an investor could face in the future.
Czech name
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Czech description
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Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Economic and Social Development (ESD): 39th International Scientific Conference on Economic and Social Development - Sustainability From an Economic and Social Perspective
ISBN
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ISSN
1849-6903
e-ISSN
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Number of pages
11
Pages from-to
153-163
Publisher name
Varazdin Development and Entrepreneurship Agency
Place of publication
Varaždín
Event location
Lisabon
Event date
Apr 29, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000471848300017

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