Synopsis
With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel’s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.
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About the Author
Authors David Enocksson and Joakim Skoog are students of economics and statistics at Uppsala University. Both are mainly interested in the study of economics and see the usefulness of statistical methods in order to measure societal quantities, and also in developing and evaluating these methods for the use of their own and others.
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Evaluating VaR (Value-at-Risk)
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series. 52 pp. Englisch. Seller Inventory # 9783659114151
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Evaluating VaR (Value-at-Risk)
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Skoog JoakimAuthors David Enocksson and Joakim Skoog are students of economics and statistics at Uppsala University. Both are mainly interested in the study of economics and see the usefulness of statistical methods in order to measu. Seller Inventory # 5132312
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Evaluating VaR (Value-at-Risk)
Published by
LAP LAMBERT Academic Publishing Jun 2012, 2012
ISBN 10: 3659114154
ISBN 13: 9783659114151
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel's (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 52 pp. Englisch. Seller Inventory # 9783659114151
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Evaluating VaR (Value-at-Risk) : with the ARCH/GARCH class of models
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LAP LAMBERT Academic Publishing, 2012
ISBN 10: 3659114154
ISBN 13: 9783659114151
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series. Seller Inventory # 9783659114151
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Evaluating VaR (Value-at-Risk) | with the ARCH/GARCH class of models
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Taschenbuch. Condition: Neu. Evaluating VaR (Value-at-Risk) | with the ARCH/GARCH class of models | Joakim Skoog (u. a.) | Taschenbuch | 52 S. | Englisch | 2012 | LAP LAMBERT Academic Publishing | EAN 9783659114151 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 106415109