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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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An empirical evaluation of risk management : Comparison study of volatility models

Fallman, David January 2011 (has links)
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.
Value-at-Risk
Mean Square Distance
Realized volatility
empirical critical value

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