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An empirical evaluation of risk management: Comparison study of volatility models
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics. (David Fallman)
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The purpose of this thesis is to evaluate five different volatility forecasting models that are used to calculate financial market risk. The models are used on both daily exchange rates and high-frequency intraday data from four different series. The results show that time series models fitted to high-frequency intraday data together with a critical value taken from the empirical distribution displayed the best forecasts overall.

Place, publisher, year, edition, pages
2011. , 23 p.
Keyword [en]
Value-at-Risk, Mean Square Distance, Realized volatility, empirical critical value
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:uu:diva-156128OAI: oai:DiVA.org:uu-156128DiVA: diva2:430503
Subject / course
Statistics
Educational program
Freestanding course
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2011-09-27 Created: 2011-07-11 Last updated: 2011-09-27Bibliographically approved

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fulltext(879 kB)384 downloads
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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