IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index

  • Korkmaz, Turhan

    ()

    (Zonguldak Karaelmas University)

  • Bostanci, Ahmet

    (Zonguldak Karaelmas University)

For determining the Value-at-Risk number with statistical models volatility must be the primary calculation. There are different volatility estimation methods on VaR calculation. The traditional volatility estimation methods are inadequate for modeling “stylized facts” which are often observed on the financial price series. In this study, different volatility models are introduced and the differences are illustrated among each other. In the empirical application 14.5 years of daily closing values of ISE 100 Index are being used for estimating the different volatility models. Estimated volatility numbers are being used for calculating the VaR numbers and the results are tested by backtesting method based on Basel II. Among all calculations “Rolling window” method is used for updating parameters daily; specifically to determine the success of modeling special characteristics of financial price series and four different time periods are being used. According to the findings obtained, volatility clustering on financial price series, changing variance, leverage effect, peakedness is preferable to be modeled by advanced models such as EWMA and GARCH.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.berjournal.com/he-comparison-of-volatility-forecasting-models-in-var-calculations-and-backtesting-according-to-basel-ii-an-application-on-ise-100-index
File Function: Full text
Download Restriction: no

Article provided by Uludag University, Faculty of Economics and Administrative Sciences in its journal Business and Economics Research Journal.

Volume (Year): 2 (2011)
Issue (Month): 3 (July)
Pages: 1

as
in new window

Handle: RePEc:ris:buecrj:0049
Contact details of provider: Web page: http://www.berjournal.com/
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ris:buecrj:0049. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Adem Anbar)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.