Empirical Analysis of GARCH model Performance in Value at Risk Estimation
(2015) NEKN01 20141Department of Economics
- Abstract
- This study will examine five GARCH model’s (GARCH, IGARCH, EGARCH, APGARCH and GJR-GARCH) capacity to determine the daily Value at Risk (VaR) of the OMXS30 stock indices, which contains 30 companies with the highest turn-over on the Stockholm Stock Exchange.
- Popular Abstract (Undetermined)
- Empirical Analysis of GARCH model Performance in Value at Risk Estimation
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/5155657
- author
- Madani, Sabah LU and Bolin Drukier, David LU
- supervisor
-
- Lu Liu LU
- Valeriia Dzhamalova LU
- organization
- course
- NEKN01 20141
- year
- 2015
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- VaR, Backtesting, Christoffersen’s test, GARCH, IGARCH, EGARCH, APGARCH, GJR-GARCH
- language
- English
- id
- 5155657
- date added to LUP
- 2015-03-17 14:57:55
- date last changed
- 2015-03-17 15:49:58
@misc{5155657,
abstract = {{This study will examine five GARCH model’s (GARCH, IGARCH, EGARCH, APGARCH and GJR-GARCH) capacity to determine the daily Value at Risk (VaR) of the OMXS30 stock indices, which contains 30 companies with the highest turn-over on the Stockholm Stock Exchange.}},
author = {{Madani, Sabah and Bolin Drukier, David}},
language = {{eng}},
note = {{Student Paper}},
title = {{Empirical Analysis of GARCH model Performance in Value at Risk Estimation}},
year = {{2015}},
}