Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two distributions (Normal and Student’s t), which are used to forecast the Value at Risk (VaR) for different return series. Seven major international equity indices are examined. The purpose of the essay is to answer which of the three models that is better at forecasting the VaR and which distribution is more appropriate. The results show that the EGARCH(1,1) is preferred for all indices included in the study.
Place, publisher, year, edition, pages
2015. , 27 p.
Value at Risk, GARCH, EGARCH, GJR-GARCH, Volatility and Forecasting
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-243245OAI: oai:DiVA.org:uu-243245DiVA: diva2:786593
Subject / course
Bachelor Programme in Business and Economics
Lars, Forsberg, Universitetslektor
Thommy, Perlinger, Universitetslektor