Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models
2010
Abstract
The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models.
The results show that, in both in-sample and out-of-sample value-at-risk estimations, the models based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned.