Using Patterns of Volatility in Calculating VaR

Radu Titus Marinescu, Madalina Gabriela Anghel, Daniel Dumitrescu and Adina Mihaela Dinu
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Radu Titus Marinescu: „Artifex” University of Bucharest
Madalina Gabriela Anghel: „Artifex” University of Bucharest
Daniel Dumitrescu: Academy of Economic Studies Bucharest
Adina Mihaela Dinu: Academy of Economic Studies Bucharest

Romanian Statistical Review Supplement, 2013, vol. 61, issue 3, 143-150

Abstract: Based on the above, it can be concluded that the use of Value at Risk method allows a more efficient allocation of financial resources available, thus eliminating the overexposure to a single risk source. Also, the VaR model allows capital investors to properly assess their activity and position in the capital market, depending on the level of risk they are willing to and take.

Keywords: value at risk; EWMA model; GARCG model; capital market (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:61:y:2013:i:3:p:143-150

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