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A Comparison of Value at Risk Methods: Evidence from the Swedish Stock Market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

There are numerous methodologies concerned with calculating Value at Risk (VaR) and the performance of these methodologies is closely connected to the data characteristics of the time series under analysis. Therefore attempting to determine the most appropriate methodology is something that must be conducted on an asset-by-asset basis. For this reason this thesis takes large number of stocks that are unlikely to have been treated in the literature and attempts to find the best performing methodology for each one of these assets.  Because the performance of a methodology is so closely connected to the time series in question it is difficult to draw general conclusions about the performance of a particular method. This thesis attempts to provide a more convincing analysis of overall methodology performance than that found in the existing literature by looking for trends within the relatively large sample of testing seen in Appendix 1.  Most of the considered methods perform to a similar level and it is difficult to discern consistently superior performance over relatively simpler methods such as the GARCH(1,1) with a normal distribution. This is in itself an interesting result as much of the literature has focused on methods that attempt to build on the supposed shortcomings such a specification. This of course should not take away from the need to examine each asset individually for the best performing methodology given its own data characteristics.

Place, publisher, year, edition, pages
2017.
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-326441OAI: oai:DiVA.org:uu-326441DiVA, id: diva2:1121190
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Available from: 2017-08-18 Created: 2017-07-10 Last updated: 2017-08-18Bibliographically approved

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