Evaluating VaR (Value-at-Risk) | with the ARCH/GARCH class of models

Joakim Skoog (u. a.)

ISBN 10: 3659114154 / ISBN 13: 9783659114151

Published by LAP LAMBERT Academic Publishing, 2012

About this Item

Evaluating VaR (Value-at-Risk) | with the ARCH/GARCH class of models | Joakim Skoog (u. a.) | Taschenbuch | 52 S. | Englisch | 2012 | LAP LAMBERT Academic Publishing | EAN 9783659114151 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.

Seller Inventory # 106415109

Bibliographic Details

• Title: Evaluating VaR (Value-at-Risk) | with the ARCH/GARCH class of models
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2012
• Language: English
• ISBN 10: 3659114154
• ISBN 13: 9783659114151
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 4D millimeters 220 millimeters width by 150 millimeters height by 4 millimeters depth
• Weight: 96 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel’s (1982) seminal paper we forecast one day ahead and ten days ahead Value-at-Risk on several exchange rates. The forecasts are done on a more volatile period than that period from which we estimate the models. We specify three models, GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) and test the models with three assumptions of the error distribution, normal, t and GED. We evaluate the models with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series.

About the Author

Authors David Enocksson and Joakim Skoog are students of economics and statistics at Uppsala University. Both are mainly interested in the study of economics and see the usefulness of statistical methods in order to measure societal quantities, and also in developing and evaluating these methods for the use of their own and others.