@article{Krężołek_2018, title={Selected GARCH‑type Models in the Metals Market – Backtesting of Value‑at‑Risk}, volume={5}, url={https://czasopisma.uni.lodz.pl/foe/article/view/987}, DOI={10.18778/0208-6018.331.12}, abstractNote={<p> </p><p style="margin: 0cm 0cm 10pt;"><span style="font-size: medium;"><span style="font-family: Calibri;">Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible difficulties in accurate forecasting. From the investor’s point of view, the key issue is to minimise the risk of huge losses. This article presents the results of using some selected GARCH</span><span style="font-family: ’MS Gothic’; mso-bidi-font-family: ’MS Gothic’;" lang="EN-US">‑</span></span><span style="font-family: Calibri; font-size: medium;">type models, ARMA</span><span style="font-family: ’MS Gothic’; mso-bidi-font-family: ’MS Gothic’;" lang="EN-US"><span style="font-size: medium;">‑</span></span><span style="font-family: Calibri; font-size: medium;">GARCH and ARMA</span><span style="font-family: ’MS Gothic’; mso-bidi-font-family: ’MS Gothic’;" lang="EN-US"><span style="font-size: medium;">‑</span></span><span style="font-family: Calibri; font-size: medium;">APARCH, in evaluating volatility of asset returns in the metals market. To assess the level of risk, the Value</span><span style="font-family: ’MS Gothic’; mso-bidi-font-family: ’MS Gothic’;" lang="EN-US"><span style="font-size: medium;">‑</span></span><span style="font-family: Calibri; font-size: medium;">at</span><span style="font-family: ’MS Gothic’; mso-bidi-font-family: ’MS Gothic’;" lang="EN-US"><span style="font-size: medium;">‑</span></span><span style="font-family: Calibri; font-size: medium;">Risk measure is used. The comparison between real and estimated losses (in terms of VaR) is made using the backtesting procedure.</span></p><p> </p>}, number={331}, journal={Acta Universitatis Lodziensis. Folia Oeconomica}, author={Krężołek, Dominik}, year={2018}, month={Jan.}, pages={185–203} }