Sökning: "Adam Östblom"

Hittade 1 uppsats innehållade orden Adam Östblom.

  1. 1. Examining GARCH forecasts for Value-at-Risk predictions

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Dennis Lindholm; Adam Östblom; [2014]
    Nyckelord :Value-at-Risk; Unconditional coverage; Christoffersen’s; GJR-GARCH;

    Sammanfattning : In this thesis we use the GARCH(1,1) and GJR-GARCH(1,1) models to estimate the conditional variance for five equities from the OMX Nasdaq Stockholm (OMXS) stock exchange. We predict 95% and 99% Value-at-Risk (VaR) using one-day ahead forecasts, under three different error distribution assumptions, the Normal, Student’s t and the General Error Distribution. LÄS MER