Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
Journal Title: Dynamic Econometric Models - Year 2017, Vol 17, Issue
Abstract
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.
Authors and Affiliations
Alicja Ganczarek-Gamrot, Józef Stawicki
Keywords
Related Articles
- EP ID EP326072
- DOI 10.12775/DEM.2017.005
- Views 91
- Downloads 0
"Does it take volume to move fx rates?" Evidence from quantile regressions
This study investigates the impact of trading volume on selected quantiles of the EUR/PLN return distribution. Empirical results obtained with the quantile regression approach confirm that an increase in the turnover is...
Unobserved Component Model for Forecasting Polish Inflation
This paper aims to use the local level models with GARCH and SV errors to predict Polish inflation. The series to be forecast, measured monthly, is consumer price index (CPI) in Poland during 1992-2008. We selected three...
Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
The availability of ultra-high frequency data justifies the use of a continuous-time approach in stock prices modeling. However, this data contain, apart from the information about the price process, a microstructure noi...
Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
In the article, linkages among sovereign CDS instruments in Central Europe are investigated. Special attention is paid to the change of causality patterns during the Hungarian and Greek crises. The results of the researc...
Forecasting Financial Processes by Using Diffusion Models
Time series forecasting is one of the most important issues in the financial econometrics. In the face of growing interest in models with continuous time, as well as rapid development of methods of their estimation, we t...