Essays about: "GARJI"

Found 1 essay containing the word GARJI.

  1. 1. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Vogl; [2016]
    Keywords : GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Abstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE