Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049935" target="_blank" >RIV/00216208:11230/10:10049935 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

Popis výsledku v původním jazyce

The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, themodels based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned.

Název v anglickém jazyce

Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

Popis výsledku anglicky

The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, themodels based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned.

Druh

C - Kapitola v odborné knize

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F0004" target="_blank" >GA402/08/0004: Model řízení kreditních rizik v České republice a jeho použitelnost v bankovním sektoru EU</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2010

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Advanced measurement techniques form market and operational risk

ISBN

978-80-246-1871-5

Počet stran výsledku

42

Strana od-do

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Počet stran knihy

262

Název nakladatele

Karolinum

Místo vydání

Prague

Kód UT WoS kapitoly

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