Historical Data in the Context of Risk Prediction

Grzegorz Mentel and Jacek Brożyna
Additional contact information
Grzegorz Mentel: Department of Quantitative Methods, Rzeszow University of Technology, Rzeszow, Poland
Jacek Brożyna: Department of Quantitative Methods, Rzeszow University of Technology, Rzeszow, Poland

International Journal of Business and Social Research, 2014, vol. 4, issue 1, 48-60

Abstract: An important element of a successful prediction of the future behavior of financial instruments is a thorough analysis of possible determinants that effect the final estimates of the prognostic models. In the case of VaR models, we may include here specified values of significance levels or assumed smoothing constant. Also, an important element is the number of historical observations that should be taken into account in order to estimate the scale of the risk. In the article, therefore, a study of the effectiveness of certain value-at-risk models in the context of historical data had been carried out. Thus, an attempt to assess the impact of the amount of historical data on the effectiveness of the VaR indications had been made.

Keywords: value-at-risk; modeling; risk; prediction; historical data (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://thejournalofbusiness.org/index.php/site/article/view/364/324 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lrc:larijb:v:4:y:2014:i:1:p:48-60

Access Statistics for this article

More articles in International Journal of Business and Social Research from LAR Center Press
Bibliographic data for series maintained by Al Hossain ().