Comparing estimates of risk between markets and telecommunications institutions in Europe

Abstract

We examine and evaluate the concept of risk for the financial market of telecommunications in Europe using the Value-at-Risk (VaR) method. In particular, we compare the estimates of risk between stock market indices and stock prices of telecommunications institutions in Europe. The estimates of risk are obtained as a one-step-ahead forecast using AutoRegressive Integrated Moving Average (ARIMA) analysis with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors.

Keywords:

• value-at- risk method
• ARIMA analysis
• GARCH models
• telecommunications market

Notes

¹The European Telecommunications Institutions along with their stock market index are British Telecom (BT) & FTSE 100, Deutsche Telekom (DT) & DAX 30, France Telecom (FT) & CAC 40, Telecom Italia (TIT) & MIBTIL, KPN Netherlands (KPN) & AEX, Telefonica (TEL) & IGBM, Hellenic Telecommunications Organization (HTO) & GI Athens, Portugal Telecom (PT) & PSI and Austria Telecom (AT) & ATX.