Sökning: "Wiktor Blad"

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  1. 1. GARCH models applied on Swedish Stock Exchange Indices

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Wiktor Blad; Vilim Nedic; [2019]
    Nyckelord :Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Sammanfattning : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. LÄS MER