VaR backtesting results under different volatility models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087389" target="_blank" >RIV/61989100:27510/13:86087389 - 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

VaR backtesting results under different volatility models

Popis výsledku v původním jazyce

Correct risk estimation is nowadays very important and no less challenging part of financial management. It is particularly crucial for financial institutions and their regulatory authorities. The simplest case is the risk estimation of invest-ment intostock market index. Different models can be applied for risk estima-tion in terms of Value at Risk. These models differ mainly in the stochastic pro-cess, which price (respectively returns) time series are assumed to follow. For all the models the accurate prediction of returns? volatility is fundamental. Alt-hough it was empirically shown that the returns of financial assets are hetero-scedastic, for simple models the homoscedasticity is usually assumed. More precise models take the heteroscedasticy into account. The paper examines the effect of different volatility models application on accuracy of VaR estimation for investment into stock market index. The accuracy is back-tested and the backtesting results are compared. The compariso

Název v anglickém jazyce

VaR backtesting results under different volatility models

Popis výsledku anglicky

Correct risk estimation is nowadays very important and no less challenging part of financial management. It is particularly crucial for financial institutions and their regulatory authorities. The simplest case is the risk estimation of invest-ment intostock market index. Different models can be applied for risk estima-tion in terms of Value at Risk. These models differ mainly in the stochastic pro-cess, which price (respectively returns) time series are assumed to follow. For all the models the accurate prediction of returns? volatility is fundamental. Alt-hough it was empirically shown that the returns of financial assets are hetero-scedastic, for simple models the homoscedasticity is usually assumed. More precise models take the heteroscedasticy into account. The paper examines the effect of different volatility models application on accuracy of VaR estimation for investment into stock market index. The accuracy is back-tested and the backtesting results are compared. The compariso

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic

ISBN

978-80-87035-76-4

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

458-463

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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