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Daily VaR forecasts with realized volatility and GARCH models

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In this paper we evaluate alternative volatility forecasting methods under Value at Risk (VaR) modelling. We calculate one-step-ahead forecasts of daily VaR for the WIG20 index quoted on the Warsaw Stock Exchange within the period from 2007 to 2011. | ARGUMENTA OECONOMICA 1 (34) • 2015 Wrocław University of Economics Wrocław 2015 Editors Ewa Knichnicka Aleksander Mercik Verified by Elżbieta Macauley, Tim Macauley and Ewa Kania Graphic design: Maciej Szłapka Argumenta Oeconomica is covered in Thomson Reuters services: • • • Social Sciences Citation Index Social Scisearch Journal Citation Reports/ Social Sciences Edition and in Elsevier service • Scopus Copyright © 2015 Wrocław University of Economics 300 copies TABLE OF CONTENTS I. INAUGURAL LECTURE FOR OPENING THE ACADEMIC YEAR 2014/2015 Krzysztof Pietraszkiewicz THE POLISH BANKING SECTOR IN THE PROCESS OF TRANSFORMATION OF THE POLISH ECONOMY. 5 II. ARTICLES Muhammad Zakaria, Xi Junyang THE CYCLICALITY OF FISCAL POLICY IN SOUTH ASIA. 33 Andrzej Kaleta, Anna Witek-Crabb PARTICIPATION IN THE STRATEGIC MANAGEMENT PROCESS AND THE EXPANSIVENESS OF THE STRATEGY 61 Jacek Mizerka, Leszek Czapiewski, Joanna Lizińska FREE CASH FLOWS AND ANOMALOUS RETURNS – THE CASE OF POLAND. 77 Mihaela Bratu (Simionescu) COMBINED FORECASTS USED TO IMPROVE THE PERFORMANCE OF UNEMPLOYMENT RATE FORECASTS IN ROMANIA 99 Patrycja Klimas THE STRUCTURAL FACE OF COMPETITION, COOPERATION AND COOPETITION INSIDE BUSINESS NETWORKS 127 Barbara Będowska-Sójka DAILY VAR FORECASTS WITH REALIZED VOLATILITY AND GARCH MODELS. 157 Tinh Doan, Tran Quang Tuyen CREDIT PARTICIPATION AND CONSTRAINTS OF THE POOR IN PERI-URBAN AREAS, VIETNAM: A MICRO-ECONOMETRIC ANALYSIS OF A HOUSEHOLD SURVEY 175 Jan Nowak, Łukasz .