Porównanie metod szacowania wartości zagrożonej na rynku metali szlachetnych
The Comparison of Methods of Estimating Value at Risk on the Precious Metals Market
Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej, 2012, vol., nr 96, s. 181-193
Abstract
The aim of this work is to compare methods of estimating Value at Risk of precious metals which are quoted on the London Metal Exchange in the period from beginning 2007 to the end of April 2012. There were analyzed five methods: historical simulation, variance-covariance approach, Monte Carlo simulation, Generalised Autoregressive Conditional Heteroscedasticity (GARCH), RiskMetrics. This models proved to be useful in the precious metals market. They allow for proper estimation of Value at Risk in the most turbulent periods in commodity markets.