EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

Marcin Chlebus

Open Access

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

Marcin Chlebus

| Dec 18, 2018

Central European Economic Journal

Volume 3 (2017): Issue 50 (December 2017)

About this article

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Page range: 01 - 25

DOI: https://doi.org/10.1515/ceej-2017-0014

Keywords
value-at-risk, state of turbulence, GARCH, tail distributions, market risk

© 2017 Marcin Chlebus published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The concept of Value-at-Risk forecasting using an EWS-GARCH model

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models – coverage tests results

SFM	TSVM	TUSVM	LR_UC	LR_IND	LR_CC	Z_UC	Z^D_UC	Z^G_UC
LOGIT	GARCH	EX8_5	5.06%	6.33%	5.06%	12.66%	2.53%	10.13%
PROBIT	GARCH	EX8_5	5.06%	6.33%	5.06%	12.66%	2.53%	10.13%
CLOGLOG	GARCH	EX8_5	5.06%	6.33%	5.06%	13.92%	2.53%	11.39%
PROBIT SEL	GARCH	EX8_5	6.33%	12.66%	6.33%	10.13%	2.53%	7.59%
CLOGLOG	GARCH	EX9_5	6.33%	10.13%	6.33%	12.66%	5.06%	7.59%
LOGIT	GARCH	EX9_5	6.33%	10.13%	6.33%	12.66%	5.06%	7.59%
PROBIT	GARCH	EX9_5	6.33%	8.86%	6.33%	12.66%	5.06%	7.59%
CLOGLOG	GARCH	EM9_5	6.33%	8.86%	6.33%	13.92%	5.06%	8.86%
LOGIT	GARCH	EM9_5	6.33%	8.86%	6.33%	13.92%	5.06%	8.86%
PROBIT	GARCH	EM9_5	6.33%	7.59%	6.33%	13.92%	5.06%	8.86%
LOGIT SEL	GARCH	EX9_5	6.33%	12.66%	8.86%	11.39%	5.06%	6.33%
LOGIT SEL	GARCH	EM9_5	6.33%	12.66%	8.86%	12.66%	5.06%	7.59%
NONE	GARCH EMP	NONE	7.59%	8.86%	5.06%	10.13%	5.06%	5.06%
LOGIT SEL	GARCH	EX8_5	7.59%	11.39%	6.33%	11.39%	3.80%	7.59%
CLOGLOG SEL	GARCH	EX8_5	7.59%	11.39%	6.33%	12.66%	3.80%	8.86%
CLOGLOG SEL	GARCH	EX9_5	7.59%	12.66%	8.86%	12.66%	6.33%	6.33%
CLOGLOG SEL	GARCH	EM9_5	7.59%	12.66%	8.86%	13.92%	6.33%	7.59%
PROBIT SEL	GARCH	EM9_5	7.59%	12.66%	8.86%	13.92%	6.33%	7.59%
PROBIT SEL	GARCH	EM0_10	7.59%	12.66%	8.86%	18.99%	1.27%	17.72%
NONE	GARCH	NONE	8.86%	8.86%	7.59%	24.05%	2.53%	21.52%
PROBIT SEL	GARCH	EX9_5	8.86%	12.66%	8.86%	13.92%	7.59%	6.33%
LOGIT SEL	GARCH	EM0_10	8.86%	13.92%	11.39%	17.72%	1.27%	16.46%
CLOGLOG SEL	GARCH	EM0_10	8.86%	15.19%	11.39%	18.99%	1.27%	17.72%
LOGIT	GARCH	EM0_10	8.86%	12.66%	11.39%	20.25%	1.27%	18.99%
PROBIT	GARCH	EM0_10	8.86%	12.66%	11.39%	20.25%	1.27%	18.99%
PROBIT SEL	GARCH	EM8_5	8.86%	11.39%	11.39%	20.25%	1.27%	18.99%
CLOGLOG	GARCH	EM0_10	8.86%	15.19%	12.66%	21.52%	1.27%	20.25%
LOGIT	GARCH	EM8_5	8.86%	11.39%	12.66%	21.52%	1.27%	20.25%
CLOGLOG	GARCH	EM8_5	8.86%	11.39%	12.66%	22.78%	1.27%	21.52%
CLOGLOG SEL	GARCH	EX0_10	10.13%	11.39%	7.59%	15.19%	7.59%	7.59%
LOGIT	GARCH	EX9_10	10.13%	12.66%	7.59%	15.19%	7.59%	7.59%
LOGIT	GARCH	EM9_10	10.13%	12.66%	7.59%	16.46%	7.59%	8.86%
LOGIT SEL	GARCH	EX0_10	10.13%	8.86%	8.86%	15.19%	7.59%	7.59%
CLOGLOG SEL	GARCH	EM9_10	10.13%	11.39%	8.86%	16.46%	8.86%	7.59%
NONE	EGARCH	NONE	10.13%	5.06%	8.86%	24.05%	2.53%	21.52%
PROBIT	GARCH	EM8_5	10.13%	11.39%	13.92%	21.52%	1.27%	20.25%
LOGIT	GARCH	EX0_10	11.39%	12.66%	6.33%	16.46%	6.33%	10.13%
CLOGLOG	GARCH	EX0_10	11.39%	11.39%	6.33%	17.72%	7.59%	10.13%
PROBIT	GARCH	EX0_10	11.39%	12.66%	6.33%	18.99%	8.86%	10.13%
CLOGLOG	GARCH	EX9_10	11.39%	11.39%	7.59%	15.19%	8.86%	6.33%
CLOGLOG	GARCH	EM9_10	11.39%	11.39%	7.59%	17.72%	8.86%	8.86%
CLOGLOG SEL	GARCH	EX9_10	11.39%	11.39%	8.86%	16.46%	10.13%	6.33%
PROBIT SEL	GARCH	EX9_10	11.39%	8.86%	11.39%	16.46%	10.13%	6.33%
LOGIT SEL	GARCH	EM9_10	11.39%	8.86%	11.39%	17.72%	10.13%	7.59%
CLOGLOG SEL	GARCH	EM8_5	11.39%	11.39%	11.39%	21.52%	2.53%	18.99%
LOGIT SEL	GARCH	EM8_5	11.39%	11.39%	12.66%	21.52%	1.27%	20.25%
PROBIT	GARCH	EX9_10	12.66%	12.66%	7.59%	16.46%	10.13%	6.33%
PROBIT	GARCH	EM9_10	12.66%	12.66%	7.59%	18.99%	10.13%	8.86%
PROBIT SEL	GARCH	EX0_10	12.66%	8.86%	10.13%	16.46%	8.86%	7.59%
LOGIT SEL	GARCH	EX9_10	12.66%	8.86%	11.39%	17.72%	11.39%	6.33%
PROBIT SEL	GARCH	EM9_10	12.66%	8.86%	11.39%	17.72%	10.13%	7.59%
NONE	GARCH-t	NONE	77,22%	2,53%	51,90%	77,22%	75,95%	1,27%

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors - coverage tests results

SFM	TSVM	TUSVM	LR_UC	LR_IND	LR_CC	Z_UC	Z^D_UC	Z^G_UC
NONE	GARCH EMP	NONE	7.59%	8.86%	5.06%	10.13%	5.06%	5.06%
CLOGLOG	GARCH EMP	EX8_5	8.86%	5.06%	1.27%	8.86%	8.86%	0.00%
LOGIT	GARCH EMP	EX8_5	8.86%	5.06%	1.27%	8.86%	8.86%	0.00%
PROBIT	GARCH EMP	EX8_5	8.86%	5.06%	1.27%	8.86%	8.86%	0.00%
NONE	GARCH	NONE	8.86%	8.86%	7.59%	24.05%	2.53%	21.52%
LOGIT SEL	GARCH EMP	EX8_5	10.13%	7.59%	2.53%	10.13%	10.13%	0.00%
PROBIT SEL	GARCH EMP	EX8_5	10.13%	8.86%	3.80%	10.13%	10.13%	0.00%
NONE	EGARCH	NONE	10.13%	5.06%	8.86%	24.05%	2.53%	21.52%
CLOGLOG SEL	GARCH EMP	EX8_5	11.39%	7.59%	2.53%	11.39%	11.39%	0.00%
CLOGLOG	GARCH EMP	EM9_5	11.39%	6.33%	3.80%	11.39%	11.39%	0.00%
LOGIT	GARCH EMP	EM9_5	11.39%	6.33%	3.80%	11.39%	11.39%	0.00%
PROBIT	GARCH EMP	EM9_5	11.39%	5.06%	3.80%	11.39%	11.39%	0.00%
CLOGLOG	GARCH EMP	EX9_5	11.39%	6.33%	5.06%	11.39%	11.39%	0.00%
LOGIT	GARCH EMP	EX9_5	11.39%	6.33%	5.06%	11.39%	11.39%	0.00%
PROBIT	GARCH EMP	EX9_5	11.39%	6.33%	5.06%	11.39%	11.39%	0.00%
LOGIT SEL	GARCH EMP	EM9_5	13.92%	8.86%	6.33%	13.92%	13.92%	0.00%
LOGIT SEL	GARCH EMP	EX9_5	13.92%	8.86%	7.59%	13.92%	13.92%	0.00%
LOGIT	GARCH EMP	EX0_10	15.19%	8.86%	5.06%	15.19%	15.19%	0.00%
CLOGLOG SEL	GARCH EMP	EM9_5	15.19%	8.86%	6.33%	15.19%	15.19%	0.00%
CLOGLOG SEL	GARCH EMP	EX0_10	15.19%	8.86%	7.59%	15.19%	15.19%	0.00%
CLOGLOG SEL	GARCH EMP	EX9_5	15.19%	8.86%	7.59%	15.19%	15.19%	0.00%
CLOGLOG	GARCH EMP	EX0_10	16.46%	7.59%	5.06%	16.46%	16.46%	0.00%
PROBIT	GARCH EMP	EX0_10	16.46%	8.86%	5.06%	16.46%	16.46%	0.00%
LOGIT	GARCH EMP	EM9_10	16.46%	8.86%	6.33%	16.46%	16.46%	0.00%
PROBIT SEL	GARCH EMP	EM9_5	16.46%	8.86%	7.59%	16.46%	16.46%	0.00%
LOGIT	GARCH EMP	EX9_10	17.72%	8.86%	6.33%	17.72%	17.72%	0.00%
PROBIT	GARCH EMP	EM9_10	17.72%	8.86%	6.33%	17.72%	17.72%	0.00%
CLOGLOG	GARCH EMP	EM9_10	17.72%	7.59%	7.59%	17.72%	17.72%	0.00%
LOGIT SEL	GARCH EMP	EX0_10	17.72%	7.59%	7.59%	17.72%	17.72%	0.00%
PROBIT SEL	GARCH EMP	EX9_5	17.72%	8.86%	7.59%	17.72%	17.72%	0.00%
CLOGLOG SEL	GARCH EMP	EM9_10	17.72%	8.86%	10.13%	17.72%	17.72%	0.00%
PROBIT	GARCH EMP	EX9_10	18.99%	8.86%	6.33%	18.99%	18.99%	0.00%
CLOGLOG	GARCH EMP	EX9_10	18.99%	7.59%	7.59%	18.99%	18.99%	0.00%
PROBIT SEL	GARCH EMP	EX0_10	20.25%	6.33%	8.86%	20.25%	20.25%	0.00%
CLOGLOG SEL	GARCH EMP	EX9_10	20.25%	7.59%	10.13%	20.25%	20.25%	0.00%
LOGIT SEL	GARCH EMP	EM9_10	21.52%	7.59%	11.39%	21.52%	21.52%	0.00%
PROBIT SEL	GARCH EMP	EM9_10	21.52%	6.33%	12.66%	21.52%	21.52%	0.00%
PROBIT SEL	GARCH EMP	EX9_10	22.78%	6.33%	12.66%	22.78%	22.78%	0.00%
LOGIT SEL	GARCH EMP	EX9_10	24.05%	6.33%	11.39%	24.05%	24.05%	0.00%
NONE	GARCH-t	NONE	77.22%	2.53%	51.90%	77.22%	75.95%	1.27%

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models

SFM	TSVM	TUSVM	VALUE-AT-RISK (WHOLE OUT-OF-SAMPLE )									STRESSED VALUE-AT-RISK (THE WORST 250 DAYS)
			EN	ER	ABAD	LOPEZ	CAPORIN	EXCOST	GREEN	AT LEAST YELLOW	RED	EN	ER	GREEN	AT LEAST YELLOW	RED
NONE	GARCH-t	NONE	1.25	0.24%	6.3%	2.46	12.5%	11.6%	98.7% 1	98.7% 1	1.3%	1.03	0.4%	97.5%	98.7%	1.3%
PROBITSEL	GARCH	EX9JI0	4.39	0.84%	8.4%	4.51	11.1%	10.3%	93.7%	98.7%	1.3%	3.56	1.4%	72.2%	93.7%	6.3%
LOGITSEL	GARCH	EX9JI0	4.44	0.85%	8.6%	4.56	11.0%	10.1%	93.7%	98.7%	1.3%	3.61	1.4%	68.4%	93.7%	6.3%
CLOGLOG SEL	GARCH	EX9JI0	4.53	0.86%	8.7%	4.59	10.9%	10.0%	93.7%	98.7%	1.3%	3.66	1.5%	68.4%	93.7%	6.3%
PROBIT	GARCH	EX9JI0	4.56	0.87%	8.5%	4.62	11.0%	10.2%	93.7%	97.5%	2.5%	3.63	1.5%	70.9%	93.7%	6.3%
PROBITSEL	GARCH	EM9JI0	4.58	0.87%	8.8%	4.71	8.7%	7.8%	92.4%	97.5%	2.5%	3.71	1.5%	68.4%	92.4%	7.6%
CLOGLOG	GARCH	EX9JI0	4.59	0.88%	8.6%	4.66	10.8%	10.0%	93.7%	97.5%	2.5%	3.67	1.5%	73.4%	93.7%	6.3%
NONE	GARCH EMP	NONE	4.61	0.88%	9.2%	4.67	7.2%	6.4%	94.9%	97.5%	2.5%	3.73	1.5%	68.4%	96.2%	3.8%
LOGIT	GARCH	EX9JI0	4.62	0.88%	8.6%	4.68	10.9%	10.0%	92.4%	97.5%	2.5%	3.67	1.5%	70.9%	93.7%	6.3%
LOGITSEL	GARCH	EM9JI0	4.63	0.88%	9.0%	4.76	8.6%	7.8%	92.4%	98.7%	1.3%	3.78	1.5%	64.6%	93.7%	6.3%
PROBITSEL	GARCH	EXOJIO	4.67	0.89%	9.0%	4.80	7.9%	7.1%	92.4%	96.2%	3.8%	3.80	1.5%	65.8%	91.1%	8.9%
CLOGLOG SEL	GARCH	EM9JI0	4.71	0.90%	9.1%	4.77	8.5%	7.7%	92.4%	98.7%	1.3%	3.82	1.5%	64.6%	93.7%	6.3%
LOGITSEL	GARCH	EXOJIO	4.75	0.90%	9.1%	4.81	7.8%	7.0%	92.4%	97.5%	2.5%	3.90	1.6%	59.5%	92.4%	7.6%
CLOGLOG SEL	GARCH	EX9_5	4.76	0.91%	9.0%	4.82	17.1%	16.3%	93.7%	98.7%	1.3%	3.81	1.5%	69.6%	93.7%	6.3%
PROBITSEL	GARCH	EX9_5	4.77	0.91%	8.9%	4.84	21.6%	20.8%	93.7%	98.7%	1.3%	3.84	1.5%	69.6%	93.7%	6.3%
PROBIT	GARCH	EM9JI0	4.77	0.91%	8.9%	4.84	8.6%	7.8%	91.1%	97.5%	2.5%	3.80	1.5%	68.4%	93.7%	6.3%
LOGITSEL	GARCH	EX9_5	4.80	0.91%	9.0%	4.86	17.1%	16.3%	93.7%	98.7%	1.3%	3.87	1.5%	69.6%	92.4%	7.6%
CLOGLOG SEL	GARCH	EXOJIO	4.80	0.91%	9.2%	4.80	7.8%	7.0%	92.4%	97.5%	2.5%	3.91	1.6%	59.5%	92.4%	7.6%
CLOGLOG	GARCH	EM9JI0	4.81	0.92%	9.0%	4.88	8.6%	7.7%	91.1%	97.5%	2.5%	3.84	1.5%	69.6%	92.4%	7.6%
LOGIT	GARCH	EX9_5	4.84	0.92%	8.8%	4.90	16.8%	16.0%	92.4%	98.7%	1.3%	3.95	1.6%	64.6%	92.4%	7.6%
PROBIT	GARCH	EX9_5	4.84	0.92%	8.8%	4.90	16.9%	16.1%	92.4%	98.7%	1.3%	3.95	1.6%	64.6%	92.4%	7.6%
LOGIT	GARCH	EM9JI0	4.84	0.92%	9.0%	4.90	8.6%	7.7%	91.1%	97.5%	2.5%	3.85	1.5%	68.4%	93.7%	6.3%
CLOGLOG	GARCH	EX9_5	4.86	0.93%	8.8%	4.93	16.8%	16.0%	92.4%	98.7%	1.3%	3.99	1.6%	64.6%	92.4%	7.6%
PROBIT	GARCH	EXOJIO	4.86	0.93%	9.1%	4.86	7.9%	7.1%	89.9%	97.5%	2.5%	3.87	1.5%	65.8%	92.4%	7.6%
CLOGLOG SEL	GARCH	EM9_5	4.87	0.93%	9.3%	4.94	8.6%	7.8%	92.4%	98.7%	1.3%	3.92	1.6%	64.6%	93.7%	6.3%
PROBITSEL	GARCH	EM9_5	4.87	0.93%	9.1%	4.94	8.6%	7.8%	92.4%	98.7%	1.3%	3.94	1.6%	67.1%	92.4%	7.6%
LOGITSEL	GARCH	EM9_5	4.91	0.94%	9.2%	4.98	8.6%	7.8%	92.4%	98.7%	1.3%	3.99	1.6%	64.6%	91.1%	8.9%
CLOGLOG	GARCH	EXOJIO	4.91	0.94%	9.2%	4.92	7.8%	7.0%	89.9%	96.2%	3.8%	3.92	1.6%	65.8%	88.6%	11.4%
LOGIT	GARCH	EXOJIO	4.92	0.94%	9.2%	4.93	7.8%	7.0%	89.9%	94.9%	5.1%	3.92	1.6%	65.8%	89.9%	10.1%
LOGIT	GARCH	EM9_5	4.95	0.94%	9.1%	5.02	8.5%	7.6%	91.1%	98.7%	1.3%	4.04	1.6%	64.6%	92.4%	7.6%
PROBIT	GARCH	EM9_5	4.95	0.94%	9.1%	5.02	8.5%	7.7%	91.1%	98.7%	1.3%	4.06	1.6%	63.3%	92.4%	7.6%
CLOGLOG	GARCH	EM9_5	4.97	0.95%	9.1%	5.04	8.5%	7.7%	91.1%	98.7%	1.3%	4.08	1.6%	64.6%	92.4%	7.6%
CLOGLOG SEL	GARCH	EX8_5	5.23	1.00%	10.1%	5.23	7.3%	6.5%	91.1%	96.2%	3.8%	4.23	1.7%	58.2%	89.9%	10.1%
PROBITSEL	GARCH	EX8_5	5.25	1.00%	10.0%	5.26	7.3%	6.5%	92.4%	96.2%	3.8%	4.25	1.7%	60.8%	89.9%	10.1%
LOGIT	GARCH	EX8_5	5.27	1.00%	9.9%	5.27	7.3%	6.5%	89.9%	97.5%	2.5%	4.32	1.7%	55.7%	89.9%	10.1%
LOGITSEL	GARCH	EX8_5	5.28	1.01%	10.1%	5.28	7.3%	6.5%	92.4%	96.2%	3.8%	4.28	1.7%	59.5%	87.3%	12.7%
PROBIT	GARCH	EX8_5	5.29	1.01%	9.9%	5.30	7.3%	6.5%	89.9%	97.5%	2.5%	4.33	1.7%	54.4%	89.9%	10.1%
CLOGLOG	GARCH	EX8_5	5.29	1.01%	9.9%	5.30	7.3%	6.5%	88.6%	97.5%	2.5%	4.35	1.7%	55.7%	89.9%	10.1%
CLOGLOG SEL	GARCH	EMOJIO	6.01	1.15%	12.6%	6.02	6.8%	6.0%	82.3%	92.4%	7.6%	4.99	2.0%	50.6%	79.7%	20.3%
PROBITSEL	GARCH	EMOJIO	6.03	1.15%	12.4%	6.03	6.8%	6.1%	82.3%	93.7%	6.3%	4.99	2.0%	51.9%	79.7%	20.3%
LOGITSEL	GARCH	EMOJIO	6.04	1.15%	12.7%	6.04	6.8%	6.0%	83.5%	92.4%	7.6%	5.01	2.0%	48.1%	79.7%	20.3%
PROBIT	GARCH	EMOJIO	6.19	1.18%	12.7%	6.20	6.8%	6.0%	81.0%	92.4%	7.6%	5.08	2.0%	46.8%	81.0%	19.0%
CLOGLOG	GARCH	EMOJIO	6.20	1.18%	12.8%	6.21	6.8%	6.0%	79.7%	92.4%	7.6%	5.05	2.0%	49.4%	79.7%	20.3%
LOGIT	GARCH	EMOJIO	6.23	1.19%	12.8%	6.23	6.8%	6.0%	81.0%	92.4%	7.6%	5.09	2.0%	48.1%	79.7%	20.3%
CLOGLOG SEL	GARCH	EM8_5	6.29	1.20%	13.2%	6.30	6.7%	5.9%	81.0%	91.1%	8.9%	5.15	2.1%	43.0%	75.9%	24.1%
PROBITSEL	GARCH	EM8_5	6.37	1.21%	13.1%	6.37	6.7%	5.9%	81.0%	92.4%	7.6%	5.22	2.1%	43.0%	77.2%	22.8%
LOGITSEL	GARCH	EM8_5	6.37	1.21%	13.2%	6.37	6.7%	5.9%	79.7%	89.9%	10.1%	5.24	2.1%	43.0%	77.2%	22.8%
LOGIT	GARCH	EM8_5	6.39	1.22%	12.9%	6.40	6.7%	5.9%	79.7%	92.4%	7.6%	5.29	2.1%	36.7%	79.7%	20.3%
CLOGLOG	GARCH	EM8_5	6.39	1.22%	12.9%	6.40	6.7%	5.9%	78.5%	92.4%	7.6%	5.32	2.1%	38.0%	78.5%	21.5%
NONE	GARCH	NONE	6.42	1.22%	12.5%	6.42	6.6%	5.8%	78.5%	93.7%	6.3%	5.18	2.1%	39.2%	78.5%	21.5%
PROBIT	GARCH	EM8_5	6.43	1.22%	13.1%	6.44	6.7%	5.9%	79.7%	91.1%	8.9%	5.34	2.1%	35.4%	78.5%	21.5%
NONE	EGARCH	NONE	6.53	1.24%	12.5%	6.54	6.7%	5.9%	78.5%	92.4%	7.6%	5.19	2.1%	40.5%	81.0%	19.0%

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors

SFM	TSVM	TUSVM	VALUE-AT-RISK (WHOLE OUT-OF-SAMPLE )									STRESSED VALUE-AT-RISK (THE WORST 250 DAYS)
			EN	ER	ABAD	LOPEZ	CAPORIN	EXCOST	GREEN	ATLEASTYELLOW	RED	EN	ER	GREEN	ATLEASTYELLOW	RED
NONE	GARCH-t	NONE	1.25	0.24%	6.3%	2.46	12.5%	11.6%	98.7%	98.7%	1.3%	1.03	0.4%	97.5%	98.7%	1.3%
PROBITSEL	GARCH EMP	EX9_10	3.06	0.58%	6.4%	3.27	11.6%	10.7%	100.0%	100.0%	0.0%	2.56	1.0%	88.6%	100.0%	0.0%
LOGITSEL	GARCH EMP	EX9_10	3.09	0.59%	6.4%	3.26	11.4%	10.6%	100.0%	100.0%	0.0%	2.58	1.0%	89.9%	98.7%	1.3%
CLOGLOG SEL	GARCH EMP	EX9_10	3.16	0.60%	6.6%	3.34	11.3%	10.5%	100.0%	100.0%	0.0%	2.62	1.0%	91.1%	98.7%	1.3%
CLOGLOG	GARCH EMP	EX9_10	3.18	0.61%	6.3%	3.31	11.3%	10.5%	100.0%	100.0%	0.0%	2.67	1.1%	88.6%	100.0%	0.0%
PROBIT	GARCH EMP	EX9_10	3.18	0.61%	6.3%	3.31	11.5%	10.7%	100.0%	100.0%	0.0%	2.66	1.1%	87.3%	100.0%	0.0%
LOGIT	GARCH EMP	EX9_10	3.20	0.61%	6.3%	3.33	11.3%	10.5%	100.0%	100.0%	0.0%	2.68	1.1%	88.6%	100.0%	0.0%
PROBITSEL	GARCH EMP	EM9_10	3.25	0.62%	6.8%	3.48	9.1%	8.3%	100.0%	100.0%	0.0%	2.72	1.1%	86.1%	100.0%	0.0%
LOGITSEL	GARCH EMP	EM9_10	3.28	0.62%	6.8%	3.46	9.1%	8.3%	100.0%	100.0%	0.0%	2.76	1.1%	87.3%	98.7%	1.3%
CLOGLOG SEL	GARCH EMP	EM9_10	3.34	0.64%	7.0%	3.52	9.0%	8.2%	100.0%	100.0%	0.0%	2.77	1.1%	88.6%	98.7%	1.3%
PROBITSEL	GARCH EMP	EX0_10	3.34	0.64%	6.9%	3.52	8.4%	7.5%	100.0%	100.0%	0.0%	2.80	1.1%	86.1%	100.0%	0.0%
CLOGLOG	GARCH EMP	EM9_10	3.39	0.65%	6.8%	3.53	9.0%	8.2%	100.0%	100.0%	0.0%	2.81	1.1%	84.8%	100.0%	0.0%
LOGITSEL	GARCH EMP	EX0_10	3.39	0.65%	7.0%	3.53	8.3%	7.5%	100.0%	100.0%	0.0%	2.86	1.1%	84.8%	98.7%	1.3%
PROBIT	GARCH EMP	EM9_10	3.39	0.65%	6.7%	3.53	9.1%	8.3%	100.0%	100.0%	0.0%	2.80	1.1%	83.5%	100.0%	0.0%
PROBITSEL	GARCH EMP	EX9_5	3.39	0.65%	6.5%	3.48	22.1%	21.3%	100.0%	100.0%	0.0%	2.81	1.1%	87.3%	100.0%	0.0%
LOGIT	GARCH EMP	EM9_10	3.42	0.65%	6.8%	3.56	9.0%	8.2%	100.0%	100.0%	0.0%	2.82	1.1%	84.8%	100.0%	0.0%
CLOGLOG SEL	GARCH EMP	EX0_10	3.43	0.65%	7.1%	3.57	8.3%	7.5%	100.0%	100.0%	0.0%	2.85	1.1%	86.1%	98.7%	1.3%
CLOGLOG SEL	GARCH EMP	EX9_5	3.43	0.65%	6.7%	3.52	17.6%	16.8%	100.0%	100.0%	0.0%	2.81	1.1%	87.3%	100.0%	0.0%
LOGITSEL	GARCH EMP	EX9_5	3.47	0.66%	6.6%	3.56	17.6%	16.8%	100.0%	100.0%	0.0%	2.87	1.1%	83.5%	100.0%	0.0%
LOGIT	GARCH EMP	EX9_5	3.48	0.66%	6.3%	3.57	17.3%	16.5%	100.0%	100.0%	0.0%	2.92	1.2%	87.3%	100.0%	0.0%
PROBIT	GARCH EMP	EX0_10	3.48	0.66%	6.9%	3.57	8.3%	7.5%	100.0%	100.0%	0.0%	2.87	1.1%	82.3%	98.7%	1.3%
CLOGLOG	GARCH EMP	EXCMO	3.49	0.67%	7.0%	3.59	8.3%	7.5%	100.0%	100.0%	0.0%	2.90	1.2%	82.3%	98.7%	1.3%
CLOGLOG	GARCH EMP	EX9_5	3.49	0.67%	6.3%	3.59	17.3%	16.5%	100.0%	100.0%	0.0%	2.95	1.2%	86.1%	100.0%	0.0%
PROBIT	GARCH EMP	EX9_5	3.49	0.67%	6.4%	3.59	17.4%	16.6%	100.0%	100.0%	0.0%	2.92	1.2%	87.3%	100.0%	0.0%
PROBITSEL	GARCH EMP	EM9_5	3.49	0.67%	6.7%	3.59	9.1%	8.3%	100.0%	100.0%	0.0%	2.89	1.2%	87.3%	100.0%	0.0%
LOGIT	GARCH EMP	EX0_10	3.51	0.67%	7.0%	3.60	8.3%	7.5%	100.0%	100.0%	0.0%	2.90	1.2%	82.3%	98.7%	1.3%
CLOGLOG SEL	GARCH EMP	EM9_5	3.54	0.68%	6.8%	3.59	9.1%	8.3%	100.0%	100.0%	0.0%	2.90	1.2%	86.1%	100.0%	0.0%
LOGITSEL	GARCH EMP	EM9_5	3.58	0.68%	6.7%	3.63	9.1%	8.3%	100.0%	100.0%	0.0%	2.96	1.2%	83.5%	100.0%	0.0%
LOGIT	GARCH EMP	EM9_5	3.59	0.68%	6.6%	3.64	9.0%	8.2%	100.0%	100.0%	0.0%	3.01	1.2%	87.3%	100.0%	0.0%
CLOGLOG	GARCH EMP	EM9_5	3.61	0.69%	6.6%	3.66	9.0%	8.2%	100.0%	100.0%	0.0%	3.04	1.2%	86.1%	100.0%	0.0%
PROBIT	GARCH EMP	EM9_5	3.61	0.69%	6.6%	3.66	9.0%	8.2%	100.0%	100.0%	0.0%	3.03	1.2%	87.3%	100.0%	0.0%
PROBITSEL	GARCH EMP	EX8_5	3.87	0.74%	7.6%	3.93	7.8%	7.0%	100.0%	100.0%	0.0%	3.19	1.3%	78.5%	100.0%	0.0%
CLOGLOG SEL	GARCH EMP	EX8_5	3.90	0.74%	7.7%	3.90	7.8%	7.0%	100.0%	100.0%	0.0%	3.19	1.3%	79.7%	98.7%	1.3%
LOGIT	GARCH EMP	EX8_5	3.91	0.75%	7.4%	3.91	7.8%	7.0%	100.0%	100.0%	0.0%	3.29	1.3%	82.3%	98.7%	1.3%
CLOGLOG	GARCH EMP	EX8_5	3.92	0.75%	7.4%	3.93	7.8%	7.0%	100.0%	100.0%	0.0%	3.32	1.3%	81.0%	98.7%	1.3%
LOGITSEL	GARCH EMP	EX8_5	3.95	0.75%	7.6%	3.95	7.8%	7.0%	100.0%	100.0%	0.0%	3.24	1.3%	77.2%	98.7%	1.3%
PROBIT	GARCH EMP	EX8_5	3.95	0.75%	7.5%	3.95	7.8%	7.0%	100.0%	100.0%	0.0%	3.30	1.3%	79.7%	98.7%	1.3%
NONE	GARCH EMP	NONE	4.61	0.88%	9.16%	4.67	7.23%	6.43%	94.9%	97.5%	2.5%	3.73	1.49%	68.4%	96.2%	3.8%
NONE	EGARCH_EMP	NONE	4.84	0.92%	9.46%	4.84	7.29%	6.49%	93.7%	96.2%	3.8%	4.01	1.61%	74.7%	94.9%	5.1%
NONE	GARCH	NONE	6.42	1.22%	12.48%	6.42	6.58%	5.79%	78.5%	93.7%	6.3%	5.18	2.07%	39.2%	78.5%	21.5%
NONE	EGARCH	NONE	6.53	1.24%	12.48%	6.54	6.68%	5.90%	78.5%	92.4%	7.6%	5.19	2.08%	40.5%	81.0%	19.0%

Industries and capitalizations in the end of the year 2011 of companies considered in the modelling

COMPANY NAME	ORIGIN	INDUSTRY	CAPITALIZATION (MLN €)
AMPLI S.A	PL	WHOLESALE TRADE	€ 1
ASSECO POLAND S.A	PL	IT INDUSTRY	€ 852
ATLANTA S.A	PL	WHOLESALE TRADE	€ 15
ATLANTIS S.A	PL	FINANCE - OTHER	€ 13
ATM GRUPA S.A	PL	MEDIA	€ 21
AWBUD S.A	PL	CONSTRUCTION	€ 32
BBI ZENERIS NFI S.A	PL	FINANCE - OTHER	€ 12
BETACOM S.A	PL	IT INDUSTRY	€ 3
BIOTON S.A	PL	PHARMACEUTICAL	€ 90
BRE BANK S.A	PL	BANKS	€ 2345
CENTROZAP S.A	PL	METAL INDUSTRY	€ 12
CERAMIKA NOWA GALA S.A	PL	BUILDING MATERIALS	€ 27
CEZ A.S	FOREIGN	ENERGETICS	€ 18,043
COGNOR S.A	PL	WHOLESALE TRADE	€ 49
DM IDM S.A	PL	CAPITAL MARKET	€ 64
DOM DEVELOPMENT S.A	PL	DEVELOPERS	€ 164
DUDA S.A	PL	FOOD INDUSTRY	€ 40
ECHO INVESTMENT S.A	PL	DEVELOPERS	€ 313
EFEKT S.A	PL	WHOLESALE TRADE	€ 3
ELEKTRO BUDOWA S.A	PL	CONSTRUCTION	€ 104
ELZAB S.A	PL	IT INDUSTRY	€ 5
ENERGOMONTAŻ-POŁUDNIE S.A	PL	CONSTRUCTION	€ 30
ENERGOPOL-POŁUDNIE S.A	PL	CONSTRUCTION	€ 18
EUROCASH S.A	PL	RETAIL	€ 885
FAM GK S.A	PL	METAL INDUSTRY	€ 9
FAMUR S.A	PL	ELECTROMECHANICAL INDUSTRY	€ 313
FARMACOL S.A	PL	WHOLESALE TRADE	€ 121
FERRUM S.A	PL	METAL INDUSTRY	€ 46
FORTE S.A	PL	PULP AND PAPER INDUSTRY	€ 51
GLOBE TRADE CENTRE S.A	PL	DEVELOPERS	€ 462
HYDROTOR S.A	PL	ELECTROMECHANICAL INDUSTRY	€ 11
IMPEXMETAL S.A	PL	METAL INDUSTRY	€ 158
INSTAL KRAKÓW S.A	PL	CONSTRUCTION	€ 20
INTER GROCLIN AUTO S.A	PL	AUTOMOTIVE	€ 14
IZOLACJA JAROCIN S.A	PL	BUILDING MATERIALS	€ 2
KCI S.A	PL	DEVELOPERS	€ 4
KGHM S.A	PL	RAW MATERIALS	€ 5,008
KOGENERACJA S.A	PL	ENERGETICS	€ 234
LPP S.A	PL	RETAIL	€ 811
MCLOGIC S.A	PL	IT INDUSTRY	€ 16
MENNICA POLSKA S.A	PL	METAL INDUSTRY	€ 147
MOSTOSTAL WARSZAWA S.A	PL	CONSTRUCTION	€ 72
MOSTOSTAL- EXPORT S.A	PL	CONSTRUCTION	€ 7
MOSTOSTAL PŁOCK S.A	PL	CONSTRUCTION	€ 7
MOSTOSTAL ZABRZE - HOLDING S	A. PL	CONSTRUCTION	€ 43
MUZA S.A	PL	MEDIA	€ 3
NORDEA BP S.A	PL	BANKS	€ 489
NOVITA S.A	PL	LIGHT INDUSTRY	€ 11
OPAKOWANIA PLAST-BOX S.A	PL	PLASTICS INDUSTRY	€ 23
ORCO PROPERTY GROER S.A	FOREIGN	DEVELOPERS	€ 61
PBS FINANSE S.A	PL	FOOD INDUSTRY	€ 13
PEPEES S.A	PL	FOOD INDUSTRY	€ 16
PKO BP S.A	PL	BANKS	€ 9090
POLCOLORIT S.A	PL	BUILDING MATERIALS	€ 5
POLICE S.A	PL	CHEMICAL INDUSTRY	€ 169
POLNORD S.A	PL	DEVELOPERS	€ 73
PRÓCHNIK S.A	PL	LIGHT INDUSTRY	€ 8
PROJPRZEM S.A	PL	CONSTRUCTION	€ 9
PULAWY S.A	PL	CHEMICAL INDUSTRY	€ 348
REDAN S.A	PL	RETAIL	€ 16
SOPHARMA AD	FOREIGN	PHARMACEUTICAL	€ 211
STALEXPORT AUTOSTRADY S.A	PL	SERVICES - OTHER	€ 68
STOMIL SANOK S.A	PL	AUTOMOTIVE	€ 71
SUWARY S.A	PL	PLASTICS INDUSTRY	€ 15
SWISSMED CENTRUM ZDROWIA S.A	PL	SERVICES - OTHER	€ 8
SYGNITY S.A	PL	IT INDUSTRY	€ 48
TELECOMMUNICATION POLSKA S.A	PL	TELECOMMUNICATION	€ 5,210
TELL S.A	PL	RETAIL	€ 15
TRAVELPLANET.PL S.A	PL	SERVICES - OTHER	€ 5
TRION S.A	PL	BUILDING MATERIALS	€ 12
ULMA S.A	PL	CONSTRUCTION	€ 77
VISTULA GROER S.A	PL	RETAIL	€ 20
WASKO S.A	PL	IT INDUSTRY	€ 44
WILBO S.A	PL	FOOD INDUSTRY	€ 2
WISTIL S.A	PL	LIGHT INDUSTRY	€ 1
ZELMER S.A	PL	ELECTROMECHANICAL INDUSTRY	€ 92
ZETKAMA S.A	PL	METAL INDUSTRY	€ 27
ZO BYTOM S.A	PL	LIGHT INDUSTRY	€ 10
ŻYWIEC S.A	PL	FOOD INDUSTRY	€ 1,198

eISSN:: 2543-6821
Language:: English

Publication timeframe:: Volume Open
Journal Subjects:: Business and Economics, Political Economics, Economic Theory, Systems and Structures, Microeconomics, Macroecomics, Public Finance and Fiscal Theory

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EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

Published Online: Dec 18, 2018

Page range: 01 - 25

DOI: https://doi.org/10.1515/ceej-2017-0014

Keywords
value-at-risk, state of turbulence, GARCH, tail distributions, market risk

© 2017 Marcin Chlebus published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Fig. 1

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models – coverage tests results

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors - coverage tests results

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors

Industries and capitalizations in the end of the year 2011 of companies considered in the modelling

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

Published Online: Dec 18, 2018

Page range: 01 - 25

DOI: https://doi.org/10.1515/ceej-2017-0014

Keywordsvalue-at-risk, state of turbulence, GARCH, tail distributions, market risk

© 2017 Marcin Chlebus published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Fig. 1

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models – coverage tests results

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors - coverage tests results

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models

The results of the analysis of the quality of Value-at-Risk forecasts obtained from the EWS-GARCH(1,1) models with the amendment to the empirical distribution of random errors

Industries and capitalizations in the end of the year 2011 of companies considered in the modelling

Keywords
value-at-risk, state of turbulence, GARCH, tail distributions, market risk