An empirical evaluation of risk management : Comparison study of volatility models
The purpose of this thesis is to evaluate five different volatility forecasting models that are used to calculate financial market risk. The models are used on both daily exchange rates and high-frequency intraday data from four different series. The results show that time series models fitted to hi...
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Format: | Others |
Language: | English |
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Uppsala universitet, Statistiska institutionen
2011
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-156128 |
Summary: | The purpose of this thesis is to evaluate five different volatility forecasting models that are used to calculate financial market risk. The models are used on both daily exchange rates and high-frequency intraday data from four different series. The results show that time series models fitted to high-frequency intraday data together with a critical value taken from the empirical distribution displayed the best forecasts overall. |
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