Ryzyko i długa pamięć w modelach warunkowej wariancji

• Autorzy: Gurgul H. , Syrek R.

Warianty tytułu

EN

Risk and long memory in returns volality models

• Języki publikacji: PL

Abstrakty

PL

Celem artykułu było zbadanie przydatności modelu FIAPARCH do wyznaczania wartości narażonej na ryzyko. Badania potwierdziły występowanie zjawiska długiej pamięci w zmienności stóp zwrotu. Dlatego klasyczne modele, które nie uwzględniają tego zjawiska: (model RiskMetrics, GARCH, APARCH) mogą być traktowane tylko jako pierwsze przybliżenie. Adekwatne wyniki daje dopiero model FIAPARCH, który umożliwia uwzględnienie ułamkowej integracji szeregu warunkowej wariancji, a także efektu dźwigni. Do opisu warunkowego rozkładu reszt wykorzystano rozkład t-Studenta oraz jego skośną wersję, co pozwoliło na uchwycenie „grubych ogonów” i asymetrii. Tak skonstruowany model stał się podstawą do oszacowania wartości narażonej na ryzyko. Porównanie wyników testów potwierdziło wyższość modelu FIAPARCH nad modelami nieuwzględniającymi choć jednego z wymienionych wyżej czynników.

EN

The goal of this article was an attempt to assess the usefulness of FIAPARCH model in respect to VaR calculation. The investigations confirmed the existence of long memory in returns volatility. Therefore the classic models which do not take the long memory into account (RiskMetrics, GARCH, APARCH) can be considered as a first approximation only. The proper results can be reached by means of FIAPARCH model, because this model allows fractional integration and a leverage effect. In order to describe fat tails and asymmetry of empirical distribution the skewed t-Student distribution has been applied. On the basis of this model VaR value was computed. The comparison of the results of this approach with a classic approach confirmed FIAPARCH superiority over the models that do not take into account at least one of the above mentioned factors (fat tails or asymmetry).

Słowa kluczowe

PL

ryzyko; długa pamięć; model FIAPARCH

EN

risk; long memory; FIAPARCH

• Wydawca: Wydawnictwa AGH
• Czasopismo: Ekonomia Menedżerska
• Rocznik: 2008
• Tom: nr 4
• Strony: 53--69
• Opis fizyczny: Bibliogr. 38 poz., tab., rys.

Twórcy

autor

Gurgul H.

• Katedra Ekonomii i Ekonometrii, Wydział Zarządzania, Akademia Górniczo-Hutnicza, al. Mickiewicza 30, 30-059 Kraków

autor

Syrek R.

• Zakład Metod Ilościowych w Ekonomii, Wyższa Szkoła Ekonomii i Informatyki w Krakowie, ul. Św. Filipa 17, 31-150 Kraków

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