Pub Date : 2021-08-24DOI: 10.5604/01.3001.0015.0375
J. Pociecha
The starting point for the presentation of the similarities and differences between the principles of conducting statistical research according to the rules of both statistical inference and statistical learning is the paradigm theory, formulated by Thomas Kuhn. In the first section of this paper, the essential features of the statistical inference paradigm are characterised, with particular attention devoted to its limitations in contemporary statistical research. Subsequently, the article presents the challenges faced by this research jointly with the expanding opportunities for their effective reduction. The essence of learning from data is discussed and the principles of statistical learning are defined. Moreover, significant features of the statistical learning paradigm are formulated in the context of the differences between the statistical inference paradigm and the statistical learning paradigm. It is emphasised that the statistical learning paradigm, as the more universal one of the two discussed, broadens the possibilities of conducting statistical research, especially in socio-economic sciences.
{"title":"The paradigm of statistical inference and the paradigm of statistical learning","authors":"J. Pociecha","doi":"10.5604/01.3001.0015.0375","DOIUrl":"https://doi.org/10.5604/01.3001.0015.0375","url":null,"abstract":"The starting point for the presentation of the similarities and differences between the principles of conducting statistical research according to the rules of both statistical inference and statistical learning is the paradigm theory, formulated by Thomas Kuhn. In the first section of this paper, the essential features of the statistical inference paradigm are characterised, with particular attention devoted to its limitations in contemporary statistical research. Subsequently, the article presents the challenges faced by this research jointly with the expanding opportunities for their effective reduction. The essence of learning from data is discussed and the principles of statistical learning are defined. Moreover, significant features of the statistical learning paradigm are formulated in the context of the differences between the statistical inference paradigm and the statistical learning paradigm. It is emphasised that the statistical learning paradigm, as the more universal one of the two discussed, broadens the possibilities of conducting statistical research, especially in socio-economic sciences.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"139 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114503627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-24DOI: 10.5604/01.3001.0015.0376
Adam Korczyński
Statistical practice requires various imperfections resulting from the nature of data to be addressed. Data containing different types of measurement errors and irregularities, such as missing observations, have to be modelled. The study presented in the paper concerns the application of the expectation-maximisation (EM) algorithm to calculate maximum likelihood estimates, using an autoregressive model as an example. The model allows describing a process observed only through measurements with certain level of precision and through more than one data series. The studied series are affected by a measurement error and interrupted in some time periods, which causes the information for parameters estimation and later for prediction to be less precise. The presented technique aims to compensate for missing data in time series. The missing data appear in the form of breaks in the source of the signal. The adjustment has been performed by the EM algorithm to a hybrid version, supplemented by the Newton-Raphson method. This technique allows the estimation of more complex models. The formulation of the substantive model of an autoregressive process affected by noise is outlined, as well as the adjustment introduced to overcome the issue of missing data. The extended version of the algorithm has been verified using sampled data from a model serving as an example for the examined process. The verification demonstrated that the joint EM and Newton-Raphson algorithms converged with a relatively small number of iterations and resulted in the restoration of the information lost due to missing data, providing more accurate predictions than the original algorithm. The study also features an example of the application of the supplemented algorithm to some empirical data (in the calculation of a forecasted demand for newspapers).
{"title":"Predicting in multivariate incomplete time series. Application of the expectation-maximisation algorithm supplemented by the Newton-Raphson method","authors":"Adam Korczyński","doi":"10.5604/01.3001.0015.0376","DOIUrl":"https://doi.org/10.5604/01.3001.0015.0376","url":null,"abstract":"Statistical practice requires various imperfections resulting from the nature of data to be addressed. Data containing different types of measurement errors and irregularities, such as missing observations, have to be modelled. The study presented in the paper concerns the application of the expectation-maximisation (EM) algorithm to calculate maximum likelihood estimates, using an autoregressive model as an example. The model allows describing a process observed only through measurements with certain level of precision and through more than one data series. The studied series are affected by a measurement error and interrupted in some time periods, which causes the information for parameters estimation and later for prediction to be less precise. The presented technique aims to compensate for missing data in time series. The missing data appear in the form of breaks in the source of the signal. The adjustment has been performed by the EM algorithm to a hybrid version, supplemented by the Newton-Raphson method. This technique allows the estimation of more complex models. The formulation of the substantive model of an autoregressive process affected by noise is outlined, as well as the adjustment introduced to overcome the issue of missing data. The extended version of the algorithm has been verified using sampled data from a model serving as an example for the examined process. The verification demonstrated that the joint EM and Newton-Raphson algorithms converged with a relatively small number of iterations and resulted in the restoration of the information lost due to missing data, providing more accurate predictions than the original algorithm. The study also features an example of the application of the supplemented algorithm to some empirical data (in the calculation of a forecasted demand for newspapers).\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"10 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120989603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-24DOI: 10.5604/01.3001.0015.0377
Nazarii Kukhar
The national economy is closely related to the demographic structure of the society. Therefore, in the face of demographic changes, it is necessary to assess the influence of these changes on economic growth. This article presents an estimation of the impact that the future changes in the demographic structure will have on the economic growth of Ukraine, represented by the rate of changes in GDP per capita. The decomposition of GDP per capita and making the components of this decomposition dependent on the demographic structure allowed an empirical analysis, which used a variety of econometric and statistical techniques and was based on a population forecast prepared by the Ptoukha Institute for Demography and Social Studies of the National Academy of Sciences of Ukraine. As a result, it was determined that the impact of the changes in the demographic structure on Ukraine’s long-term economic growth will be highly diverse over the studied period (until 2060). However, considering the entire period of the analysis, the negative effects of the changes in the demographic structure on the economy will be counterbalanced by the positive effects of these changes.
{"title":"The influence of the demographic structure on the economic growth of Ukraine","authors":"Nazarii Kukhar","doi":"10.5604/01.3001.0015.0377","DOIUrl":"https://doi.org/10.5604/01.3001.0015.0377","url":null,"abstract":"The national economy is closely related to the demographic structure of the society. Therefore, in the face of demographic changes, it is necessary to assess the influence of these changes on economic growth. This article presents an estimation of the impact that the future changes in the demographic structure will have on the economic growth of Ukraine, represented by the rate of changes in GDP per capita. The decomposition of GDP per capita and making the components of this decomposition dependent on the demographic structure allowed an empirical analysis, which used a variety of econometric and statistical techniques and was based on a population forecast prepared by the Ptoukha Institute for Demography and Social Studies of the National Academy of Sciences of Ukraine. As a result, it was determined that the impact of the changes in the demographic structure on Ukraine’s long-term economic growth will be highly diverse over the studied period (until 2060). However, considering the entire period of the analysis, the negative effects of the changes in the demographic structure on the economy will be counterbalanced by the positive effects of these changes.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124658243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-05-31DOI: 10.5604/01.3001.0014.8492
Anna Czapkiewicz, Agnieszka Choczyńska
The aim of this paper is to find economic factors that could be helpful in explaining the market’s shifts between periods of prosperity and crisis. The study took into account the main stock indices from developed markets of the USA, Germany and Great Britain, and from two emerging markets, i.e. Poland and Turkey. The analysis confirms the existence of two different states of volatility in these markets, namely the state with a positive returns’ mean and low volatility, and the state with a negative or insignificant mean and high volatility. The Markov-switching model with a dynamic probability matrix was applied in the study. The subject of the analysis was the impact of domestic and global factors, such as VIX and TED spread, oil prices, sentiment indices (ZEW), and macroeconomic indices (unemployment, longterm interest rate, CPI), on the probability of switching between the states. The authors concluded that in all the examined countries, changes in long-term interest rates have an influence on market returns. However, the direction of this impact is different for developed and emerging markets. As regards developed markets, high prices of oil, 10-year bonds, and the ZEW index can suggest a high probability of the countries remaining in the first state, whereas an increase in the VIX index and the TED spread significantly reduces the probability of staying in this state. The other studied factors proved to be rather local in nature.
{"title":"The effect of financial, macroeconomic and sentimental factors on stock market volatility","authors":"Anna Czapkiewicz, Agnieszka Choczyńska","doi":"10.5604/01.3001.0014.8492","DOIUrl":"https://doi.org/10.5604/01.3001.0014.8492","url":null,"abstract":"The aim of this paper is to find economic factors that could be helpful in explaining the market’s shifts between periods of prosperity and crisis. The study took into account the main stock indices from developed markets of the USA, Germany and Great Britain, and from two emerging markets, i.e. Poland and Turkey. The analysis confirms the existence of two different states of volatility in these markets, namely the state with a positive returns’ mean and low volatility, and the state with a negative or insignificant mean and high volatility. The Markov-switching model with a dynamic probability matrix was applied in the study. The subject of the analysis was the impact of domestic and global factors, such as VIX and TED spread, oil prices, sentiment indices (ZEW), and macroeconomic indices (unemployment, longterm interest rate, CPI), on the probability of switching between the states. The authors concluded that in all the examined countries, changes in long-term interest rates have an influence on market returns. However, the direction of this impact is different for developed and emerging markets. As regards developed markets, high prices of oil, 10-year bonds, and the ZEW index can suggest a high probability of the countries remaining in the first state, whereas an increase in the VIX index and the TED spread significantly reduces the probability of staying in this state. The other studied factors proved to be rather local in nature.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129754293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-05-31DOI: 10.5604/01.3001.0014.8493
Agata Kliber, P. Płuciennik
The article presents an analysis of the impact of foreign currency dynamics on the fundamentals (basic indices of the economic performance) of the Czech Republic, Hungary and Poland during the financial crisis of 2007/2008 and its aftermath until 2017. The subject of the analysis are three currencies: the US dollar, the euro and the Swiss franc. The assessment of their impact on the fundamentals of the three above-mentioned economies is based on the joint volatilities of bond spreads and currencies. A series of copula-GARCH models was estimated. The research demonstrates that the impact of foreign currencies was the strongest in the case of Poland and Hungary, as these two countries were more dependent on loans in foreign currencies than the Czech Republic. Another finding shows that the impact decreased significantly in Hungary after its government introduced loan conversion.
{"title":"Euro, dollar or Swiss franc: which currency had the greatest impact on the Hungarian, Polish and Czech economies during the global financial crisis?","authors":"Agata Kliber, P. Płuciennik","doi":"10.5604/01.3001.0014.8493","DOIUrl":"https://doi.org/10.5604/01.3001.0014.8493","url":null,"abstract":"The article presents an analysis of the impact of foreign currency dynamics on the fundamentals (basic indices of the economic performance) of the Czech Republic, Hungary and Poland during the financial crisis of 2007/2008 and its aftermath until 2017. The subject of the analysis are three currencies: the US dollar, the euro and the Swiss franc. The assessment of their impact on the fundamentals of the three above-mentioned economies is based on the joint volatilities of bond spreads and currencies. A series of copula-GARCH models was estimated. The research demonstrates that the impact of foreign currencies was the strongest in the case of Poland and Hungary, as these two countries were more dependent on loans in foreign currencies than the Czech Republic. Another finding shows that the impact decreased significantly in Hungary after its government introduced loan conversion.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116886871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-05-31DOI: 10.5604/01.3001.0014.8494
Ewa Majerowska, Jacek Bednarz
The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.
{"title":"Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective","authors":"Ewa Majerowska, Jacek Bednarz","doi":"10.5604/01.3001.0014.8494","DOIUrl":"https://doi.org/10.5604/01.3001.0014.8494","url":null,"abstract":"The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128983101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-02-26DOI: 10.5604/01.3001.0014.7109
J. Pociecha
Every researcher desires to uncover the truth about the object of the undertaken study. When conducting statistical research, however, scientists frequently give no deeper thought as to their motivation underlying the choice of the particular purpose and scope of the study, or the choice of analytical tools. The aim of this paper is to provide a reflection on the philosophical foundations of statistical research. The three basic understandings of the term ‘statistics’ are outlined, followed by a synthetic overview of the understanding of the concept of truth in the key branches of philosophy, with particular attention devoted to the understanding of truth in probabilistic terms. Subsequently, a short discussion is presented on the philosophical bases of statistics, touching upon such topics as determinism and indeterminism, chance and chaos, deductive and inductive reasoning, randomness and uncertainty, and the impact of the information revolution on the development of statistical methods, especially in the context of socio-economic research. The article concludes with the formulation of key questions regarding the future development of statistics.
{"title":"Philosophical foundations of statistical research","authors":"J. Pociecha","doi":"10.5604/01.3001.0014.7109","DOIUrl":"https://doi.org/10.5604/01.3001.0014.7109","url":null,"abstract":"Every researcher desires to uncover the truth about the object of the undertaken study. When conducting statistical research, however, scientists frequently give no deeper thought as to their motivation underlying the choice of the particular purpose and scope of the study, or the choice of analytical tools. The aim of this paper is to provide a reflection on the philosophical foundations of statistical research. The three basic understandings of the term ‘statistics’ are outlined, followed by a synthetic overview of the understanding of the concept of truth in the key branches of philosophy, with particular attention devoted to the understanding of truth in probabilistic terms. Subsequently, a short discussion is presented on the philosophical bases of statistics, touching upon such topics as determinism and indeterminism, chance and chaos, deductive and inductive reasoning, randomness and uncertainty, and the impact of the information revolution on the development of statistical methods, especially in the context of socio-economic research. The article concludes with the formulation of key questions regarding the future development of statistics.","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115869072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-02-26DOI: 10.5604/01.3001.0014.7108
Jakub M. Kwiatkowski, Tomasz Tomaszewski
Patenting activity is broadly analysed in the literature at the micro, mezzo, and macroeconomic levels. Yet, not much attention regarding this issue is devoted to European countries in transition. The main aim of the study is a quantitative analysis of all patent applications filed with and grants issued by the Polish Patent Office throughout the period of 1990– 2018 at the aggregate and regional level. We investigate trends and factors determining the patenting activity in Poland – the country at an advanced level of the economic and social transition. The empirical analysis leads to several findings. First of all, we identify changes in the field of patenting related to Poland’s accession to the EU in 2004, which resulted in the increase of residents’ patenting activity and decrease of that of non-residents (in terms of the number of filed applications and granted patents at a national and regional level). This holds for absolute numbers as well as for a per capita perspective. Additionally, we demonstrate that the increase in R&D expenditure is not followed by a proportional increase in patenting, as the patent-to- R&D ratio is systematically shrinking. Finally, the study compares trends in patenting activity in Poland with those in different groups of countries, proving that the dynamic of change in Poland is much slower than could be expected.
{"title":"Trends and characteristics of patenting activity in Poland in 1990–2018","authors":"Jakub M. Kwiatkowski, Tomasz Tomaszewski","doi":"10.5604/01.3001.0014.7108","DOIUrl":"https://doi.org/10.5604/01.3001.0014.7108","url":null,"abstract":"Patenting activity is broadly analysed in the literature at the micro, mezzo, and macroeconomic levels. Yet, not much attention regarding this issue is devoted to European countries in transition. The main aim of the study is a quantitative analysis of all patent applications filed with and grants issued by the Polish Patent Office throughout the period of 1990– 2018 at the aggregate and regional level. We investigate trends and factors determining the patenting activity in Poland – the country at an advanced level of the economic and social transition. The empirical analysis leads to several findings. First of all, we identify changes in the field of patenting related to Poland’s accession to the EU in 2004, which resulted in the increase of residents’ patenting activity and decrease of that of non-residents (in terms of the number of filed applications and granted patents at a national and regional level). This holds for absolute numbers as well as for a per capita perspective. Additionally, we demonstrate that the increase in R&D expenditure is not followed by a proportional increase in patenting, as the patent-to- R&D ratio is systematically shrinking. Finally, the study compares trends in patenting activity in Poland with those in different groups of countries, proving that the dynamic of change in Poland is much slower than could be expected.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128341934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The concept of life quality has been studied by specialists from a variety of scientific fields: economics, social geography, sociology, psychology, medicine, political sciences, and others. This contributes to the complementariness of the notion and broadens its interdisciplinary perspective, but on the other hand, it leads to a lack of unanimity in terms of the definition and measurement of the quality of life. Meanwhile, all developed countries in the world regard enhancing life quality as a priority of state policy. With the further advancement of our civilisation, quality of life will become a major issue in economic development. Therefore, monitoring this aspect of economic life, at both country and regional level, seems to be of particular significance. The paper aims to assess the suitability of selected methods of multivariate statistical analysis for the construction of a synthetic measure of objective quality of life. The study employs two methods of constructing synthetic measures of objective life quality: the linear ordering method – TOPSIS, and factor analysis. The results obtained by means of multivariate statistical analysis methods made it possible to create ratings of Polish and Belarusian regions in terms of objective quality of life and to further divide the regions into typological groups.
{"title":"The application of selected methods of multivariate statistical analysis to study objective quality of life in Polish and Belarusian regions","authors":"Valiantsina Lialikava, Iwona Skrodzka, Alena Kalinina","doi":"10.5604/01.3001.0014.5727","DOIUrl":"https://doi.org/10.5604/01.3001.0014.5727","url":null,"abstract":"The concept of life quality has been studied by specialists from a variety of scientific fields: economics, social geography, sociology, psychology, medicine, political sciences, and others. This contributes to the complementariness of the notion and broadens its interdisciplinary perspective, but on the other hand, it leads to a lack of unanimity in terms of the definition and measurement of the quality of life. Meanwhile, all developed countries in the world regard enhancing life quality as a priority of state policy. With the further advancement of our civilisation, quality of life will become a major issue in economic development. Therefore, monitoring this aspect of economic life, at both country and regional level, seems to be of particular significance. The paper aims to assess the suitability of selected methods of multivariate statistical analysis for the construction of a synthetic measure of objective quality of life. The study employs two methods of constructing synthetic measures of objective life quality: the linear ordering method – TOPSIS, and factor analysis. The results obtained by means of multivariate statistical analysis methods made it possible to create ratings of Polish and Belarusian regions in terms of objective quality of life and to further divide the regions into typological groups.","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120980604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-12-30DOI: 10.5604/01.3001.0014.5726
Daniel Kaszyński, B. Kamiński, Bartosz Pankratz
The market risk management process includes the quantification of the risk connected with defined portfolios of assets and the diagnostics of the risk model. Value at Risk (VaR) is one of the most common market risk measures. Since the distributions of the daily P&L of financial instruments are unobservable, literature presents a broad range of backtests for VaR diagnostics. In this paper, we propose a new methodological approach to the assessment of the size of VaR backtests, and use it to evaluate the size of the most distinctive and popular backtests. The focus of the paper is directed towards the evaluation of the size of the backtests for small-sample cases – a typical situation faced during VaR backtesting in banking practice. The results indicate significant differences between tests in terms of the p-value distribution. In particular, frequency-based tests exhibit significantly greater discretisation effects than duration-based tests. This difference is especially apparent in the case of small samples. Our findings prove that from among the considered tests, the Kupiec TUFF and the Haas Discrete Weibull have the best properties. On the other hand, backtests which are very popular in banking practice, that is the Kupiec POF and Christoffersen’s Conditional Coverage, show significant discretisation, hence deviations from the theoretical size.
{"title":"Assessment of the size of VaR backtests for small samples","authors":"Daniel Kaszyński, B. Kamiński, Bartosz Pankratz","doi":"10.5604/01.3001.0014.5726","DOIUrl":"https://doi.org/10.5604/01.3001.0014.5726","url":null,"abstract":"The market risk management process includes the quantification of the risk connected with defined portfolios of assets and the diagnostics of the risk model. Value at Risk (VaR) is one of the most common market risk measures. Since the distributions of the daily P&L of financial instruments are unobservable, literature presents a broad range of backtests for VaR diagnostics. In this paper, we propose a new methodological approach to the assessment of the size of VaR backtests, and use it to evaluate the size of the most distinctive and popular backtests. The focus of the paper is directed towards the evaluation of the size of the backtests for small-sample cases – a typical situation faced during VaR backtesting in banking practice. The results indicate significant differences between tests in terms of the p-value distribution. In particular, frequency-based tests exhibit significantly greater discretisation effects than duration-based tests. This difference is especially apparent in the case of small samples. Our findings prove that from among the considered tests, the Kupiec TUFF and the Haas Discrete Weibull have the best properties. On the other hand, backtests which are very popular in banking practice, that is the Kupiec POF and Christoffersen’s Conditional Coverage, show significant discretisation, hence deviations from the theoretical size.\u0000\u0000","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"12 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133352618","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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