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Evaluating VaR with the ARCH/GARCH Family
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 Economics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Value-at-Risk, ARCH, GARCH, GJR-GARCH, Exchange rates, Conditional Variance, Volatility Forecasting
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-168283OAI: oai:DiVA.org:uu-168283DiVA: diva2:492259
Subject / course
Statistics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-02-08 Created: 2012-02-07 Last updated: 2012-02-08Bibliographically approved

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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
  • text
  • asciidoc
  • rtf