Essays about: "Threshold GARCH TGARCH"

Found 2 essays containing the words Threshold GARCH TGARCH.

1. 1. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Alexander Noshkov; Zafer Demirtas; [2017]
   Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

   Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

3. 2. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Euan Anderson; [2015]
   Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

   Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE