Comparing estimates of risk between markets and telecommunications institutions in Europe

Christos Agiakloglou and Konstantinos Bloutsos

Applied Economics Letters, 2011, vol. 18, issue 6, 575-579

Abstract: We examine and evaluate the concept of risk for the financial market of telecommunications in Europe using the Value-at-Risk (VaR) method. In particular, we compare the estimates of risk between stock market indices and stock prices of telecommunications institutions in Europe. The estimates of risk are obtained as a one-step-ahead forecast using AutoRegressive Integrated Moving Average (ARIMA) analysis with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors.

Keywords: value-at- risk method; ARIMA analysis; GARCH models; telecommunications market (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:6:p:575-579

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DOI: 10.1080/13504851003742459

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