Which GARCH model is best for Value-at-Risk?
The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. Out-of-sample volatility forecasts a...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Nationalekonomiska institutionen
2015
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-244448 |