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A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. The forecasts were performed on a one-day rolling window in 2014. The results show that the DCC-GARCH model accurately predicted the fluctuation in the conditional correlation, although not with the correct magnitude. Furthermore, the DCC-GARCH model shows good Value-at-Risk forecasting performance for different portfolios containing the Scandinavian currencies.

Place, publisher, year, edition, pages
2019. , p. 51
Keywords [en]
Multivariate GARCH, Conditional Correlations, Forecasting, Time-varying covariance matrices, Exchange rate returns, Variance-Covariance matrix
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-375201OAI: oai:DiVA.org:uu-375201DiVA, id: diva2:1283199
Subject / course
Statistics
Educational program
Bachelor Programme in Business and Economics
Supervisors
Examiners
Available from: 2019-01-28 Created: 2019-01-28 Last updated: 2019-01-28Bibliographically approved

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Probability Theory and Statistics

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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