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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

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  • Krasnosselski, Nikolai
  • Cremers, Heinz
  • Sanddorf, Walter

Abstract

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates can bear a substantial impact on the value of a position. Thus, a sound estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility.

Suggested Citation

  • Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter, 2014. "Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte," Frankfurt School - Working Paper Series 208, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:208
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    References listed on IDEAS

    as
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    3. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    ARCH; Backtesting; BEKK-GARCH; Bootstrapping; CCC-GARCH; Conditional Volatility; Constant Mean Model; DCC-GARCH; EWMA; GARCH; GJR-GARCH; Heteroskedasticity; IGARCH; Mandelbrot; Misspecification Test; Multivariate Volatility Model; Stylized Facts; Univariate Volatility Model; Value at Risk; Volatility Clustering;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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