Sökning: "Evaluating VaR with the ARCH GARCH Family"
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1. Evaluating VaR with the ARCH/GARCH Family
Kandidat-uppsats, Statistiska institutionen; Nationalekonomiska institutionenSammanfattning : 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
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