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Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2015 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Value at Risk, GARCH, EGARCH, GJR-GARCH, Volatility and Forecasting
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-243245OAI: oai:DiVA.org:uu-243245DiVA: diva2:786593
Subject / course
Statistics
Educational program
Bachelor Programme in Business and Economics
Supervisors
Examiners
Available from: 2015-02-09 Created: 2015-02-05 Last updated: 2015-02-11Bibliographically approved

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bsc-thesis-andersson-haglund-2015(1517 kB)398 downloads
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Probability Theory and Statistics

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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