Essays about: "Adam Östblom"
Found 1 essay containing the words Adam Östblom.
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1. Examining GARCH forecasts for Value-at-Risk predictions
University essay from Uppsala universitet/Statistiska institutionenAbstract : In this thesis we use the GARCH(1,1) and GJR-GARCH(1,1) models to estimate the conditional variance for five equities from the OMX Nasdaq Stockholm (OMXS) stock exchange. We predict 95% and 99% Value-at-Risk (VaR) using one-day ahead forecasts, under three different error distribution assumptions, the Normal, Student’s t and the General Error Distribution. READ MORE
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