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GARCH models applied on Swedish Stock Exchange Indices
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]

In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. In addition to acquiring information of the expected loss, VaR was introduced in the regulatory frameworks of Basel I and II as a standardized measure of market risk. Due to necessity of measuring VaR accurately, this thesis aims to be a contribution to the research field of applying GARCH-models to financial time series in order to forecast the conditional variance and find accurate VaR-estimations. The findings in this thesis is that GARCH-models which incorporate the asymmetric effect of positive and negative returns perform better than a standard GARCH. Further on, leptokurtic distributions have been found to outperform normal distribution. In addition to various models and distributions, various rolling windows have been used to examine how the forecasts differ given window lengths.

Place, publisher, year, edition, pages
2019. , p. 32
Keywords [sv]
Value-at-Risk, GARCH, GJR-GARCH, EGARCH, student´s t distribution, generalized error distribution, Kupiec´s test, Chrisoffersen´s test, forecast
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:uu:diva-386185OAI: oai:DiVA.org:uu-386185DiVA, id: diva2:1327144
Subject / course
Statistics
Educational program
Business Aministration and Economics Programme
Supervisors
Examiners
Available from: 2019-06-24 Created: 2019-06-19 Last updated: 2019-06-24Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
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More languages
Output format
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