Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets

• Autorzy: Marcin Fałdziński , Magdalena Osińska

Warianty tytułu

Estymatory zmienności w ekonometrycznej analizie transferu ryzyka na rynkach kapitałowych

• Języki publikacji: EN

Abstrakty

EN

The purpose of the research is to compare the performance of different volatili-ty measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators are considered: Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang and the AR-GARCH(1,1)-t model. Additionally, the extreme value theory is also applied. Several emerging capital markets are checked for being the source of the risk for both emerging and developed markets. The group of emerging markets includes the most intensively growing economies in the world. The final results are such as the number of relationships between the markets is considerably lower when the methods taken from the extreme value theory are used. (original abstract)

Celem badania jest porównanie wykorzystania różnych estymatorów zmienności, zastosowanych do testowania przyczynowości w ryzyku, między kilkoma wybranymi rynkami wschodzącymi i rozwiniętymi. W pracy uwzględniono następujące estymatory zmienności: Parkinsona, Garmana i Klassa, Rogersa i Satchella, Garmana, Klassa, Yanga i Zhanga, Yanga i Zhanga oraz model GARCH(1,1)-t. Dodatkowo wykorzystano narzędzia teorii wartości ekstremalnych. Kilka wybranych rynków wschodzących zostało przebadanych, czy są źródłem ryzyka dla rynków rozwijających i rozwiniętych. Wyniki pokazują, że przyczynowość w ryzyku występuje rzadziej w przypadku modeli z wykorzystaniem teorii wartości ekstremalnych. (abstrakt oryginalny)

Słowa kluczowe

EN

Causality; Extreme Values Theory (EVT); Emerging markets

PL

Przyczynowość; Teoria wartości ekstremalnych; Rynki wschodzące

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2016
• Tom: 16
• Strony: 21--35

Twórcy

autor

Marcin Fałdziński

• Nicolaus Copernicus University in Toruń, Poland

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

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Identyfikatory

DOI

10.12775/DEM.2016.002