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Visar resultat 1 - 5 av 30 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    Kandidat-uppsats,

    Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
    Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER

  3. 2. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Otto Colbin; Yugam Sharma; [2023]
    Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER

  4. 3. DCC-GARCH Estimation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Christofer Nordström; [2021]
    Nyckelord :Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    Sammanfattning : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. LÄS MER

  5. 4. A study incorporating skewness in Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sreeja Madhavi Prajeesh; [2021]
    Nyckelord :Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Sammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER

  7. 5. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Laura Emina Ludolphy; Emilia Johansson; [2020]
    Nyckelord :Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Sammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. LÄS MER