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Arima-Garch Models In Estimating Market Risk Using Value At Risk For The Wig20 Index

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  • KAMIL MAKIEL

    (UITM)

Abstract

This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test.

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Handle: RePEc:wsz:fiq000:v:8:y:2012:i:2:id:829
DOI: 10.65748/fiqf-2012-0018
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