Essays about: "NGARCH"

Found 2 essays containing the word NGARCH.

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. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Emil Somnicki; Krzysztof Ostrowski; [2010]
   Keywords : Fianncial Mathematics; Risk management; high frequency data; intraday; Value at Risk; VaR; Expected Shortfall; ES; NIG; nGARCH; tGARCH; NIG-GARCH;

   Abstract : The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. READ MORE