Essays about: "Leptokurtic GARCH models"
Showing result 1 - 5 of 7 essays containing the words Leptokurtic GARCH models.
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1. GARCH models applied on Swedish Stock Exchange Indices
University essay from Uppsala universitet/Statistiska institutionenAbstract : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. READ MORE
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2. A simple model of volatility in financial data - An alternative to GARCH models
University essay from Lunds universitet/Statistiska institutionenAbstract : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. READ MORE
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3. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. READ MORE
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4. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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. READ MORE
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5. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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