Evaluating VaR with the ARCH/GARCH Family
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates arebased on three models combined with three distributional assumptions of the innovations, andthe evaluations are made with Kupiec's (1995) test for unconditional coverage. The data rangesfrom January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) andGJR-GARCH(1,1) with normally distributed innovations are models adequately capturing theconditional variance in the series.
Place, publisher, year, edition, pages
2012. , 25 p.
Value-at-Risk, ARCH, GARCH, GJR-GARCH, Exchange rates, Conditional Variance, Volatility Forecasting
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-168283OAI: oai:DiVA.org:uu-168283DiVA: diva2:492259
Subject / course
UppsokSocial and Behavioural Science, Law
Forsberg, Lars, PhD