An empirical evaluation of risk management : Comparison study of volatility models

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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Bibliographic Details
Main Author: Fallman, David
Format: Others
Language:English
Published: Uppsala universitet, Statistiska institutionen 2011
Subjects:
Value-at-Risk
Mean Square Distance
Realized volatility
empirical critical value
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-156128
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spelling ndltd-UPSALLA1-oai-DiVA.org-uu-1561282013-01-08T13:33:15ZAn empirical evaluation of risk management : Comparison study of volatility modelsengFallman, DavidUppsala universitet, Statistiska institutionen2011Value-at-RiskMean Square DistanceRealized volatilityempirical critical valueThe 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. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-156128application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Value-at-Risk
Mean Square Distance
Realized volatility
empirical critical value
spellingShingle Value-at-Risk
Mean Square Distance
Realized volatility
empirical critical value
Fallman, David
An empirical evaluation of risk management : Comparison study of volatility models
description 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.
author Fallman, David
author_facet Fallman, David
author_sort Fallman, David
title An empirical evaluation of risk management : Comparison study of volatility models
title_short An empirical evaluation of risk management : Comparison study of volatility models
title_full An empirical evaluation of risk management : Comparison study of volatility models
title_fullStr An empirical evaluation of risk management : Comparison study of volatility models
title_full_unstemmed An empirical evaluation of risk management : Comparison study of volatility models
title_sort empirical evaluation of risk management : comparison study of volatility models
publisher Uppsala universitet, Statistiska institutionen
publishDate 2011
url http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-156128
work_keys_str_mv AT fallmandavid anempiricalevaluationofriskmanagementcomparisonstudyofvolatilitymodels
AT fallmandavid empiricalevaluationofriskmanagementcomparisonstudyofvolatilitymodels
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