Prognozowanie zmienności stóp zwrotu na rynkach złota i srebra z uwzględnieniem efektu asymetrii i długiej pamięci
Forecasting the volatility of the return rates on the gold and silver markets, taking into account the asymmetry and long memory effects
Author(s): Bogdan WłodarczykSubject(s): Economy, Business Economy / Management
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: price forecasting volatility; commodity market
Summary/Abstract: The article analyses the meaning of the asymmetry and long memory effects in modelling and forecasting the conditioned volatility and the market risk on the commodity market on the examples of gold and silver. A wide range of linear and non-linear models of the GARCH type were used. The in-sample and out of sample forecast analyses showed that the volatility of the return rates for gold and silver is better described by the linear models of volatility, using the long memory and asymmetry effects. In particular, the FIAPARCH model turned out to be the best in estimating the VaR forecasts for long and short positions. This model also generated the least security breach formulated by the Basel II Capital Accord, reaching the level of risk exposure with the 99% of confidence interval.
Journal: Studia i Prace WNEIZ US
- Issue Year: 2017
- Issue No: 50/1
- Page Range: 231-247
- Page Count: 17
- Language: Polish