Essays about: "Christoffersen test."

Showing result 1 - 5 of 15 essays containing the words Christoffersen test..

  1. 1. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Fang; Måns Eile; [2020]
    Keywords : Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Abstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. 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. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  5. 4. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities

    University essay from Lunds universitet/Matematisk statistik

    Author : Felix Mörée; [2016]
    Keywords : Commodities; Copula; GARCH; VaR; Mathematics and Statistics;

    Abstract : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. READ MORE

  6. 5. Which GARCH model is best for Value-at-Risk?

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Erik Berggren; Fredrik Folkelid; [2015]
    Keywords : Value-at-Risk; ARCH GARCH forecasting; Backtesting; Kupiec test; Christoffersen test;

    Abstract : The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. READ MORE