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

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