Open AccessDynamic value at risk estimation for BELEX15
Author(s) -
Emilija Nikolić-Đorić,
Dragan Đorić
Publication year - 2011
Publication title -
metodološki zvezki
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.127
H-Index - 7
eISSN - 1854-0031
pISSN - 1854-0023
DOI - 10.51936/odxg4832
Subject(s) - autoregressive conditional heteroskedasticity , value at risk , econometrics , volatility (finance) , stock market index , extreme value theory , index (typography) , stock exchange , mathematics , economics , statistics , computer science , risk management , stock market , finance , paleontology , horse , world wide web , biology
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.