Essays about: "student t-distribution"
Showing result 1 - 5 of 51 essays containing the words student t-distribution.
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1. Volatility Forecasting - A comparative study of different forecasting models.
University essay fromAbstract : 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
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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 institutionenAbstract : 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
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3. Copula approach to fitting bivariate time series
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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4. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?
University essay from Stockholms universitet/Statistiska institutionenAbstract : 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
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5. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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