About: Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, the models based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned. The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, the models based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned. (en)
Title	Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models (en)
skos:prefLabel	Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models (en)
skos:notation	RIV/00216208:11230/10:10049935!RIV11-GA0-11230___
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/08/0004), Z(MSM0021620841)
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Bubák, Vít
http://linked.open.../riv/druhVysledku	C - Kapitola v knize
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	295238
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/10:10049935
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	models; garch; asymmetric; and; symmetric; using; investigation; empirical; markets:; stock; european; eastern; and; central; Value-at-risk (en)
http://linked.open.../riv/klicoveSlovo	using central models asymmetric garch and investigation eastern empirical Value-at-risk markets: symmetric stock european
http://linked.open...ontrolniKodProRIV	[D382E8AD7C1E]
http://linked.open...i/riv/mistoVydani	Prague
http://linked.open...vEdiceCisloSvazku	Neuveden
http://linked.open...i/riv/nazevZdroje	Advanced measurement techniques form market and operational risk
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...v/pocetStranKnihy	262 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Bubák, Vít
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
number of pages	42 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Karlova v Praze. Nakladatelství Karolinum
https://schema.org/isbn	978-80-246-1871-5
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

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