Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
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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.
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VaR, Markov chain, SARIMA models, GARCH models, back testing
Citation
Dynamic Econometric Models, No. 1, Vol. 17, pp. 81-96
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Except where otherwised noted, this item's license is described as Attribution-NoDerivs 3.0 Poland