Sökning: "Rishi Thapar"

Hittade 1 uppsats innehållade orden Rishi Thapar.

  1. 1. Volatility and Value at Risk modelling using univariate GARCH models

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Rishi Thapar; [2006]
    Nyckelord :GARCH; volatility forecasting; VaR evaluation;

    Sammanfattning : Generalised Autoregressive conditional heteroscedasticity (GARCH) models have been very popular for forecasting time varying variance of a time series as a function of lagged variance and lagged square values of the series. This thesis studied performance of GARCH models for forecasting volatility and Value at Risk (VaR) of investment portfolios of Central Bank of Sweden. LÄS MER