Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk
Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible difficulties in accurate forecasting. From the inve...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2017-11-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/987 |
| _version_ | 1819149903771729920 |
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| author | Dominik Krężołek |
| author_facet | Dominik Krężołek |
| author_sort | Dominik Krężołek |
| collection | DOAJ |
| description | Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible difficulties in accurate forecasting. From the investor’s point of view, the key issue is to minimise the risk of huge losses. This article presents the results of using some selected GARCH‑type models, ARMA‑GARCH and ARMA‑APARCH, in evaluating volatility of asset returns in the metals market. To assess the level of risk, the Value‑at‑Risk measure is used. The comparison between real and estimated losses (in terms of VaR) is made using the backtesting procedure. |
| first_indexed | 2024-12-22T14:09:00Z |
| format | Article |
| id | doaj.art-56d381fdcc6a49f7baa3de0392a27418 |
| institution | Directory Open Access Journal |
| issn | 0208-6018 2353-7663 |
| language | English |
| last_indexed | 2024-12-22T14:09:00Z |
| publishDate | 2017-11-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Acta Universitatis Lodziensis. Folia Oeconomica |
| spelling | doaj.art-56d381fdcc6a49f7baa3de0392a274182022-12-21T18:23:15ZengLodz University PressActa Universitatis Lodziensis. Folia Oeconomica0208-60182353-76632017-11-01533118520310.18778/0208-6018.331.121850Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑RiskDominik Krężołek0University of Economics in Katowice, Faculty of Informatics and Communication, Department of Demography and Economic StatisticsRisk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible difficulties in accurate forecasting. From the investor’s point of view, the key issue is to minimise the risk of huge losses. This article presents the results of using some selected GARCH‑type models, ARMA‑GARCH and ARMA‑APARCH, in evaluating volatility of asset returns in the metals market. To assess the level of risk, the Value‑at‑Risk measure is used. The comparison between real and estimated losses (in terms of VaR) is made using the backtesting procedure.https://czasopisma.uni.lodz.pl/foe/article/view/987volatilityGARCH‑type modelsriskValue‑at‑Riskmetals market |
| spellingShingle | Dominik Krężołek Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk Acta Universitatis Lodziensis. Folia Oeconomica volatility GARCH‑type models risk Value‑at‑Risk metals market |
| title | Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk |
| title_full | Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk |
| title_fullStr | Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk |
| title_full_unstemmed | Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk |
| title_short | Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk |
| title_sort | selected garch type models in the metals market backtesting of value at risk |
| topic | volatility GARCH‑type models risk Value‑at‑Risk metals market |
| url | https://czasopisma.uni.lodz.pl/foe/article/view/987 |
| work_keys_str_mv | AT dominikkrezołek selectedgarchtypemodelsinthemetalsmarketbacktestingofvalueatrisk |