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The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures

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  • Joanna Górka

    (Nicolaus Copernicus University in Torun)

Abstract

Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method of estimating and backtesting is crucial for both the regulators and the risk managers’. The Sign RCA models may be useful to obtain the accurate forecasts of VaR. In this research one briefly describes the Sign RCA models, the Value at Risk and backtesting. We compare the predictive accuracy of alternative VaR forecasts obtained from different models. Empirical example is mainly related to the PBG Capital Group shares on the Warsaw Stock Exchange.

Suggested Citation

  • Joanna Górka, 2010. "The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 61-80.
    • Handle: RePEc:cpn:umkdem:v:10:y:2010:p:61-81
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    References listed on IDEAS

    as
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