Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk
Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. In this paper, we evaluate the use of the GARCH(1,1)-, EGARCH(1,1)- and the APARCH(1,1) model for estimation of this measure unde...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2018
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381 |