ARIMA-GARCH MODELS IN ESTIMATING MARKET RISK USING VALUE AT RISK FOR THE WIG20 INDEX

Kamil Makiel
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Kamil Makiel: UITM

Financial Internet Quarterly, 2012, vol. 8, issue 2, 25-33

Abstract: This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test.

Keywords: VaR; risk; GARCH (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:wsz:fiq000:v:8:y:2012:i:2:id:829

DOI: 10.65748/fiqf-2012-0018

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