- Autor
- Krężołek Dominik (University of Economics in Katowice, Poland), Piontek Krzysztof (Wrocław University of Economics and Business)
- Tytuł
- Volatility and Models Based on the Extreme Value Theory for Gold Returns
- Źródło
- Statistics in Transition, 2024, vol. 25, nr 2, s. 1-22, tab., wykr., bibliogr. 39 poz.
- Słowa kluczowe
- Teoria wartości ekstremalnych, Stopa zwrotu, Złoto, Statystyka, Modele ekonometryczne, Finanse, Ekonometria, Estymacja
Extreme Values Theory (EVT), Rate of return, Gold, Statistics, Econometric models, Finance, Econometrics, Estimation - Uwagi
- summ.
- Abstrakt
- In this study, we use daily gold log-returns to analyse the quality of forecasting expected shortfalls (ES) using volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed on the entire distribution of returns, as well as for EVT models. The results of ES forecasts for each model were verified using the backtesting procedure proposed by Acerbi and Szekely. The results show that EVT models provide more accurate one-day ahead ES forecasts compared to the other models. Moreover, the asymmetric theoretical distributions for innovations of EVT models allow the improvement of the accuracy of ES forecasting. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
- Pełny tekst
- Pokaż
- Bibliografia
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- Cytowane przez
- ISSN
- 1234-7655
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.59170/stattrans-2024-012