Evaluating VaR (Value-at-Risk)

Language: English

Published by LAP LAMBERT Academic Publishing Jun 2012, 2012

3659114154 / 9783659114151

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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.OmniScriptum SRL, Str. Armeneasca 28/1, office 1, 2012 Chisinau 52 pp. Englisch.

Seller Inventory # 9783659114151

Title
Evaluating VaR (Value-at-Risk)
Author
Joakim Skoog
Publisher
LAP LAMBERT Academic Publishing Jun 2012
Publication year
2012
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659114154
ISBN 13
9783659114151
Item weight
96 grams
Dimensions
220x150x4 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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