About: Backtesting VaR Estimation under GARCH and GJR-GARCH Models

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://msed.vse.cz/files/2013/191-Kresta-Ales-paper.pdf
Description	The important and no less interesting part of financial risk management is the risk modelling. Commonly utilized measure of risk (not only by banks and insurance companies) is Value at Risk. Since the financial time series are typical by non-constant volatility over time, it is crucial for Value at Risk calculation to model the standard deviation of returns correctly. In the paper we assume (relatively simple) models based on GARCH and GJR-GARCH models with Student distributions of innovations. These models are back-tested assuming the investment into Prague stock market index. The period utilized for back-testing is from 1993 till 2012, i.e. 4,627 daily values. The evaluation is made by means of the detected number of exceptions, i.e. the cases in which the observed losses were bigger than estimated Value at Risk on a given probability level. Also well-known statistical tests due to Kupiec and Christoffersen are utilized. According to results the assumed models are not accurate – the risk is underestimated, but bunching of the exceptions is not present. The important and no less interesting part of financial risk management is the risk modelling. Commonly utilized measure of risk (not only by banks and insurance companies) is Value at Risk. Since the financial time series are typical by non-constant volatility over time, it is crucial for Value at Risk calculation to model the standard deviation of returns correctly. In the paper we assume (relatively simple) models based on GARCH and GJR-GARCH models with Student distributions of innovations. These models are back-tested assuming the investment into Prague stock market index. The period utilized for back-testing is from 1993 till 2012, i.e. 4,627 daily values. The evaluation is made by means of the detected number of exceptions, i.e. the cases in which the observed losses were bigger than estimated Value at Risk on a given probability level. Also well-known statistical tests due to Kupiec and Christoffersen are utilized. According to results the assumed models are not accurate – the risk is underestimated, but bunching of the exceptions is not present. (en)
Title	Backtesting VaR Estimation under GARCH and GJR-GARCH Models Backtesting VaR Estimation under GARCH and GJR-GARCH Models (en)
skos:prefLabel	Backtesting VaR Estimation under GARCH and GJR-GARCH Models Backtesting VaR Estimation under GARCH and GJR-GARCH Models (en)
skos:notation	RIV/61989100:27510/13:86087388!RIV14-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(EE2.3.30.0016), P(GP13-18300P)
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kresta, Aleš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	62804
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86087388
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	risk management; Value at Risk; back-testing (en)
http://linked.open.../riv/klicoveSlovo	back-testing Value at Risk risk management
http://linked.open...ontrolniKodProRIV	[75F532B061E1]
http://linked.open...v/mistoKonaniAkce	Praha
http://linked.open...i/riv/mistoVydani	Slaný
http://linked.open...i/riv/nazevZdroje	The 7th International Days of Statistics and Economics : conference proceedings : September 19-21, 2013, Prague, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Opportunities for young researchers Modelování finančních časových řad a odhad rizika
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Kresta, Aleš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2013-09-19 (xsd:date)
number of pages	11 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Melandrium
https://schema.org/isbn	978-80-86175-87-4
http://localhost/t...ganizacniJednotka	27510

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