ORIGINALNI NAUČNI RADOVI / SCIENTIFIC PAPERS

Zorica Mladenović* i Pavle Mladenović** DOI:10.2298/EKA0771032M

OCENA PARAMETRA VREDNOSTI PRI RIZIKU:

EKONOMETRIJSKA ANALIZA I PRISTUP
TEORIJE EKSTREMNIH VREDNOSTI***
ESTIMATION OF THE VALUE-AT-RISK PARAMETER:
ECONOMETRIC ANALYSIS AND THE EXTREME VALUE THEORY APPROACH

APSTRAKT: U radu smo razmatrali ABSTRACT: In this paper different aspects

različite aspekte ocenjivanja parametra
vrednosti pri riziku. Posmatrali smo kre-
tanje dnevnih prinosa akcija kompanija
CISCO i INTEL, kao i tržišnog indeksa
NASDAQ, u periodu: septembar 1996 – sep-
tembar 2006. godina. Koristili smo metode
kojima se obuhvataju svojstva vremenski
promenljivog varijabiliteta i teških repova
empirijske raspodele prinosa. Osnovni
zaključak rada je da se primenom stan-
dardnih ekonometrijskih metoda potcen-
juje parametar vrednosti pri riziku ukoliko
se eksplicitno ne modeliraju teški repovi
empirijske raspodele prinosa.
KLJUČNE REČI: vrednost pri riziku, us-
lovni varijabilitet, GARCH modeli, eks-
tremne vrednosti, raspodele sa teškim re-
povima.
of value-at-risk estimation are considered.
Daily returns of CISCO, INTEL and NAS-
DAQ stock indices are analysed for period:
September 1996 – September 2006. Meth-
ods that incorporate time varying variabil-
ity and heavy tails of the empirical distri-
butions of returns are implemented. The
main finding of the paper is that standard
econometric methods underestimate the
value-at-risk parameter if heavy tails of the
empirical distribution are not explicitely
taken into account.
KEY WORDS: value-at-risk, conditional
variability, GARCH models, extreme val-
ues, heavy tailed distributions.

* Ekonomski fakultet, Univerzitet u Beogradu

** Matematički fakultet, Univerzitet u Beogradu
*** Rad je napisan uz podršku projekta Razvoj institucija i instrumenata finansijskog i hipotek-
arnog tržišta, broj 149041, koji finansira Ministarstvo nauke i zaštite životne sredine Repub-
like Srbije.

32
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73