Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company
The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock Exchange in range from January 2011 to June 2016. HMM approach allows us to clas...
Main Authors: | Tomáš Konderla, Václav Klepáč |
---|---|
Format: | Article |
Language: | English |
Published: |
Mendel University Press
2017-01-01
|
Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
Subjects: | |
Online Access: | https://acta.mendelu.cz/65/5/1687/ |
Similar Items
-
Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
by: Václav Klepáč, et al.
Published: (2015-01-01) -
Which GARCH model is best for Value-at-Risk?
by: Berggren, Erik, et al.
Published: (2015) -
Examining GARCH forecasts for Value-at-Risk predictions
by: Lindholm, Dennis, et al.
Published: (2014) -
GARCH models applied on Swedish Stock Exchange Indices
by: Blad, Wiktor, et al.
Published: (2019) -
Multiple-Step-Ahead Forecasting of Value at Risk Based on Holt-Winters Exponential Smoothing Multiplicative Method
by: Ehsan Mohammadian Amiri, et al.
Published: (2018-04-01)