Essays about: "Khaled Jrideh"
Found 1 essay containing the words Khaled Jrideh.
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1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE
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