%0 Journal Article
%T ARIMA-GARCH MODELS IN ESTIMATING MARKET RISK USING VALUE AT RISK FOR THE WIG20 INDEX
%A Kamil Makiel
%J e-Finanse
%D 2012
%I Wy?sza Szko?a Informatyki i Zarz?dzania
%X 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.
%K VaR
%K risk
%K GARCH
%U http://e-finanse.com/artykuly_eng/217.pdf