Sökning: "Christoffersen test"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden Christoffersen test.

  1. 1. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Fang; Måns Eile; [2020]
    Nyckelord :Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Sammanfattning : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. LÄS MER

  3. 2. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Arvid Nybrant; Henrik Rundberg; [2018]
    Nyckelord :VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Sammanfattning : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. LÄS MER

  4. 3. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Nicklas Rehnby; [2017]
    Nyckelord :option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER

  5. 4. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Felix Mörée; [2016]
    Nyckelord :Commodities; Copula; GARCH; VaR; Mathematics and Statistics;

    Sammanfattning : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. LÄS MER

  7. 5. Which GARCH model is best for Value-at-Risk?

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Erik Berggren; Fredrik Folkelid; [2015]
    Nyckelord :Value-at-Risk; ARCH GARCH forecasting; Backtesting; Kupiec test; Christoffersen test;

    Sammanfattning : The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. LÄS MER