Naslov
Theoretical Distributions in Risk Measuring on Stock Market

Autori
Arnerić, Josip ; Jurun, Elza ; Pivac Snježana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 8th WSEAS International Conference on Mathematics and Computers in Business and Economics / - Vancouver : WSEAS Press, 2007, 194-199

ISBN
978-960-8457-82-9

Skup
Conference on Mathematics and Computers in Business and Economics (MCBE'07)

Mjesto i datum
Vancouver, Kanada, 19.06.2007. - 21.06.2007

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
theoretical distribution comparison; non-integer degrees of freedom; heavy-tails; scale and shape parameters; risk measuring; conditional variance; risk forecasting of stock returns

Sažetak
For any investor on stock market it is very important to predict possible loss, depending on if he holds "long" or "short" position. By forecasting stock risk investor can be ensured "a priori" from estimated market risk, using financial derivatives, i.e. options, forwards, futures and other instruments. In that sense we find financial econometrics as the most useful tool for modeling conditional mean and conditional variance of nonstationary financial time series. Besides the assumption of normal distributed returns does not represent asymmetry of information influence, normal distribution also is not the most appropriate approximation of the real data on the stock market. Using assumption of heavy tailed distribution, such as Student's t-distribution in GARCH(p, q) model, it becomes possible to forecast market risk much more precisely. Even more, using Student's distribution with non-integer degrees of freedom leads approximation to minimal differences between theoretical and real values. Such modeling enables time-varying risk forecasting, because the assumption of constant risk measures between stocks is unrealistic. The complete procedure of analysis has been established using real observed data at Zagreb Stock Exchange. For this purpose daily returns of the most frequently traded stocks from CROBEX index is used.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA