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Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market

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dc.contributor.author Ganczarek-Gamrot, Alicja
dc.contributor.author Stawicki, Józef
dc.date.accessioned 2018-02-16T09:05:09Z
dc.date.available 2018-02-16T09:05:09Z
dc.date.issued 2017-12-31
dc.identifier.citation Dynamic Econometric Models, No. 1, Vol. 17, pp. 81-96
dc.identifier.issn 2450-7067
dc.identifier.other doi:10.12775/DEM.2017.005
dc.identifier.uri http://repozytorium.umk.pl/handle/item/5054
dc.description.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.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject VaR
dc.subject Markov chain
dc.subject SARIMA models
dc.subject GARCH models
dc.subject back testing
dc.title Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
dc.type info:eu-repo/semantics/article


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