About: Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility

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About: Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process pattern cannot be found in analyzed time series. The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process pattern cannot be found in analyzed time series. (en)
Title	Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility (en)
skos:prefLabel	Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility (en)
skos:notation	RIV/00216208:11230/11:10098800!RIV12-GA0-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GAP403/10/1235), S, Z(MSM0021620841)
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Rippel, Milan Jánský, Ivo
http://linked.open.../riv/druhVysledku	O - Ostatní výsledky nezařaditelné do žádného z výše uvedených druhů výsledku
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	237888
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/11:10098800
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	autoregressive process; moving average process; tarch; egarch; garch; conditional coverage; conditional volatility; risk analysis; VaR (en)
http://linked.open.../riv/klicoveSlovo	risk analysis VaR autoregressive process conditional coverage conditional volatility egarch garch moving average process tarch
http://linked.open...ontrolniKodProRIV	[E79C4D210EAF]
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Institutional Responses to Financial Market Failures
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Rippel, Milan Jánský, Ivo
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
http://localhost/t...ganizacniJednotka	11230

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