Essays about: "NIG distribution"
Found 5 essays containing the words NIG distribution.
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1. Univariate GARCH models with realized variance
University essay from Uppsala universitet/Statistiska institutionenAbstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE
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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 institutionenAbstract : 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
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3. 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)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
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4. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. READ MORE
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5. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL
University essay fromAbstract : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. READ MORE