Since 2014
Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
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| Creator |
Ganczarek-Gamrot, Alicja; University of Economics in Katowice
Stawicki, Józef; Nicolaus Copernicus University in Toruń, Faculty of Economic Sciences and Management, Department of Econometrics and Statistics |
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| Subject |
VaR; Markov chain; SARIMA models; GARCH models; back testing
C12, C58, G32 |
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| Description |
The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the gas base index quoted on the Day-Ahead Market (DAM) of the Polish Power Exchange (PPE) in the period commencing on January 2, 2014 and ending on April 13, 2017. The consistency and independence of the exceedances of estimated VaR were verified applying the Kupiec and Christoffersen tests.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2017-12-21
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.005
10.12775/DEM.2017.005 |
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| Source |
Dynamic Econometric Models; Vol 17 (2017); 81-96
Dynamic Econometric Models; Vol 17 (2017); 81-96 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.005/13762
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| Rights |
Copyright (c) 2017 Dynamic Econometric Models
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