Essays about: "Student t-distribution"

Showing result 1 - 5 of 51 essays containing the words Student t-distribution.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    University essay from

    Author : Emil Sturesson; Anton Wennström; [2023-06-29]
    Keywords : Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Abstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE

  3. 2. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Otto Colbin; Yugam Sharma; [2023]
    Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

  4. 3. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  5. 4. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Mathilda Schönbeck; Fatima Salman; [2022]
    Keywords : Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

    Abstract : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. READ MORE

  6. 5. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christoffer Titov; [2022]
    Keywords : GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Abstract : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). READ MORE