Essays about: "Unconditional coverage"

Showing result 1 - 5 of 9 essays containing the words Unconditional coverage.

  1. 1. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  3. 2. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Arvid Nybrant; Henrik Rundberg; [2018]
    Keywords : VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Abstract : 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

  4. 3. Quantifying market risk : - An evaluation of VaR methodologies in the banking sector

    University essay from Umeå universitet/Nationalekonomi

    Author : Andreas Wikström; [2016]
    Keywords : ;

    Abstract : In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR) is evaluated. To find the best models forestimating the VaR, the performance of these methods is assessed on the basisof Kupiec’s unconditional coverage test of statistical accuracy. READ MORE

  5. 4. Forecasting value at risk in the Swedish stock market - an investigation of GARCH volatility models

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Joel Nilsson; [2015]
    Keywords : ;

    Abstract : 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. READ MORE

  6. 5. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Asmir Prepic; Måns Unosson; [2014]
    Keywords : ;

    Abstract : We use GARCH(1,1), EGARCH and MIDAS regression to forecast weekly and monthly conditional variance of the OMXS30 equity index and USD/SEK exchange rate. Forecasts are compared with realized volatility and accuracy is evaluated using a Quasi-likelihood loss function and Diebold Mariano test. READ MORE