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Empirical Analysis of GARCH model Performance in Value at Risk Estimation

Madani, Sabah LU and Bolin Drukier, David LU (2015) NEKN01 20141
Department 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
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author
Madani, Sabah LU and Bolin Drukier, David LU
supervisor
organization
course
NEKN01 20141
year
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},
  keyword      = {VaR,Backtesting,Christoffersen’s test,GARCH,IGARCH,EGARCH,APGARCH,GJR-GARCH},
  language     = {eng},
  note         = {Student Paper},
  title        = {Empirical Analysis of GARCH model Performance in Value at Risk Estimation},
  year         = {2015},
}