Essays about: "Multivariate Volatility Models"

Showing result 16 - 17 of 17 essays containing the words Multivariate Volatility Models.

1. 16. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

   University essay from Lunds universitet/Statistiska institutionen

   Author : Wenjing Su; Yiyu Huang; [2010]
   Keywords : Mathematics and Statistics;

   Abstract : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. READ MORE

3. 17. VaR methods for linear instruments

   University essay from Lunds universitet/Riskhantering (CI); Lunds universitet/Avdelningen för Brandteknik; Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

   Author : Birgir Vidarsson; [2008]
   Keywords : VaR; Covariance; GARCH; EWMA; Market risk; Financial science; Financial time series; Volatility; Finansiering; Technological sciences; Teknik; Business and Economics; Technology and Engineering;

   Abstract : In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. READ MORE