Sökning: "Evaluating VaR with the ARCH GARCH Family"

Hittade 1 uppsats innehållade orden Evaluating VaR with the ARCH GARCH Family.

  1. 1. Evaluating VaR with the ARCH/GARCH Family

    Kandidat-uppsats, Statistiska institutionen; Nationalekonomiska institutionen

    Författare :David Enocksson; Joakim Skoog; [2012]
    Nyckelord :Value-at-Risk; ARCH; GARCH; GJR-GARCH; Exchange rates; Conditional Variance; Volatility Forecasting;

    Sammanfattning : The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. LÄS MER