{"id":1493,"date":"2011-07-16T13:29:08","date_gmt":"2011-07-16T18:29:08","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=1493"},"modified":"2011-07-16T13:32:05","modified_gmt":"2011-07-16T18:32:05","slug":"he-comparison-of-volatility-forecasting-models-in-var-calculations-and-backtesting-according-to-basel-ii-an-application-on-ise-100-index","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/he-comparison-of-volatility-forecasting-models-in-var-calculations-and-backtesting-according-to-basel-ii-an-application-on-ise-100-index","title":{"rendered":"he Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
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Article Information<\/strong><\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

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Journal:<\/strong><\/span><\/span> Business and Economics Research Journal
\n<\/span>Title of Article:<\/strong><\/span><\/span> The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index
\n<\/span>Author(s):<\/strong><\/span><\/span> Turhan Korkmaz, Ahmet Bostanci
\n<\/span>Volume:<\/strong><\/span><\/span> 2
\n<\/span>Number:<\/strong><\/span><\/span> 3
\n<\/span>Year:<\/strong><\/span><\/span> 2011
\n<\/span>Page:<\/strong><\/span><\/span> 1-17
\n<\/span>ISSN:<\/strong><\/span><\/span> 1309-2448<\/span><\/p>\n<\/td>\n<\/tr>\n

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Abstract <\/strong><\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

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For determining the Value-at-Risk number with statistical models volatility must be the primary calculation. There are different volatility estimation methods on VaR calculation. The traditional volatility estimation methods are inadequate for modeling \u201cstylized facts\u201d which are often observed on the financial price series. In this study, different volatility models are introduced and the differences are illustrated among each other. In the empirical application 14.5 years of daily closing values of ISE 100 Index are being used for estimating the different volatility models. Estimated volatility numbers are being used for calculating the VaR numbers and the results are tested by backtesting method based on Basel II. Among all calculations \u201cRolling window\u201d method is used for updating parameters daily; specifically to determine the success of modeling special characteristics of financial price series and four different time periods are being used. According to the findings obtained, volatility clustering on financial price series, changing variance, leverage effect, peakedness is preferable to be modeled by advanced models such as EWMA and GARCH.<\/span><\/p>\n<\/td>\n<\/tr>\n

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Keywords:<\/strong><\/span><\/span>Volatility, Basel II, Backtesting, Value-at-Risk<\/span><\/p>\n<\/td>\n<\/tr>\n

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JEL Classification<\/strong><\/span><\/span>:<\/strong><\/span><\/span>C13, C52, G17<\/span><\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Article Information Journal: Business and Economics Research Journal Title of Article: The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index Author(s): Turhan Korkmaz, Ahmet Bostanci Volume: 2 Number: 3 Year: 2011 Page: 1-17 ISSN: 1309-2448 Abstract For determining the Value-at-Risk number with statistical […]<\/p>\n

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