Essays about: "nGARCH"
Found 2 essays containing the word nGARCH.
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1. Distributional Dynamics of Fama-French Factors in European Markets
University essay from KTH/Matematisk statistikAbstract : 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
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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)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