Forecasting value at risk in the Swedish stock market - an investigation of GARCH volatility models
The purpose of this thesis was to investigate various conditional volatility models commonly used in forecasting financial risk within the field of Financial Econometrics. The GARCH, the GJR-GARCH and the T-GARCH models were examined. The models ability to forecast the conditional variance was inves...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Nationalekonomiska institutionen
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-261004 |