Mоlimо vаs kоristitе оvај idеntifikаtоr zа citirаnjе ili оvај link dо оvе stаvkе:
https://open.uns.ac.rs/handle/123456789/11995
Nаziv: | Dynamic value at risk estimation for BELEX15 | Аutоri: | Nikolić-Dorić E. Dorić D. |
Dаtum izdаvаnjа: | 1-јан-2011 | Čаsоpis: | Metodoloski Zvezki | Sažetak: | This paper uses RiskMetrics, GARCH and IGARCH models to calculate daily VaR for Belgrade Stock Exchange index BELEX15 returns based on the normal and Student t innovation distribution. In the case of GARCH and IGARCH models VaR values are obtained applying Extreme Value Theory on the standardized residuals. The Kupiec's LR statistics was used to test the accuracy of risk measurement models. The main conclusions are: (1) when modelling value-at-risk it is very important to have a good model for volatility of stock returns; (2) both stationary and integrated GARCH models outperform RiskMetrics in estimating VaR; (3) although long memory volatility is present in the BELEX15 index, IGARCH models cannot outperform GARCH type models in VaR evaluations for this index. | URI: | https://open.uns.ac.rs/handle/123456789/11995 | ISSN: | 18540023 |
Nаlаzi sе u kоlеkciјаmа: | Naučne i umetničke publikacije |
Prikаzаti cеlоkupаn zаpis stаvki
Prеglеd/i stаnicа
9
Prоtеklа nеdеljа
5
5
Prоtеkli mеsеc
0
0
prоvеrеnо 10.05.2024.
Google ScholarTM
Prоvеritе
Stаvkе nа DSpace-u su zаštićеnе аutоrskim prаvimа, sа svim prаvimа zаdržаnim, оsim аkо nije drugačije naznačeno.