Essays about: "Kupiec´s test"

Showing result 1 - 5 of 8 essays containing the words Kupiec´s test.

  1. 1. GARCH models applied on Swedish Stock Exchange Indices

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Wiktor Blad; Vilim Nedic; [2019]
    Keywords : Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Abstract : 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

  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. 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

  5. 4. 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

  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