Sökning: "NIG distribution"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden NIG distribution.

1. 1. Univariate GARCH models with realized variance

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Carl Börjesson; Ossian Löhnn; [2019]
   Nyckelord :GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

   Sammanfattning : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. 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. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Författare :Emil Somnicki; Krzysztof Ostrowski; [2010]
   Nyckelord :Fianncial Mathematics; Risk management; high frequency data; intraday; Value at Risk; VaR; Expected Shortfall; ES; NIG; nGARCH; tGARCH; NIG-GARCH;

   Sammanfattning : The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. LÄS MER

5. 4. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Författare :Magdalena Kucharska; Jolanta Pielaszkiewicz; [2009]
   Nyckelord :NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR;

   Sammanfattning : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. LÄS MER

7. 5. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL

   Magister-uppsats,

   Författare :Magdalena Kucharska; Jolanta Maria Pielaszkiewicz; [2009]
   Nyckelord :NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR;

   Sammanfattning : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. LÄS MER