Essays about: "var garch"

Showing result 1 - 5 of 65 essays containing the words var garch.

  1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Khaled Jrideh; [2023-05-26]
    Keywords : ;

    Abstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE

  3. 2. Modelling Risk in Real-Life Multi-Asset Portfolios

    University essay from KTH/Matematik (Avd.)

    Author : Karin Hahn; Axel Backlund; [2023]
    Keywords : Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

    Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. 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. The Energy Transition: The Behavior of Renewable Energy Stock During Times of Energy Security Uncertainty : A firm-specific study of the volatility characteristics, crucial drivers & uncertainties of renewable energy stock

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Philip Igeland; Leon Schroeder; [2022]
    Keywords : Renewable energy; Energy security; Green metals; Uncertainty; MS-GARCH;

    Abstract : The global energy sector is experiencing an transition towards renewable energy, a transition that is mainly driven by issues related to climate change and energy security. In this paper, we investigate the time-varying volatility and risk measures of renewable energy and traditional energy firms. READ MORE

  6. 5. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Van Cao Thi Hong; [2022]
    Keywords : cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Abstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE