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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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Univariate GARCH models with realized variance

Börjesson, Carl, Löhnn, Ossian January 2019 (has links)
This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. The results are ambiguous - the models with realized variance improves the model fit, but when applied to forecasting, the models with realized variance are performing similar Value at Risk predictions compared to the models without realized variance.
GARCH
EGARCH
GJRGARCH
external regressor
realized variance
volatility
Value at Risk
nig
Normal inverse gaussian
std
Student’s t distribution
norm
Normal distribution
rugarch
rolling forecast
Probability Theory and Statistics
Sannolikhetsteori och statistik

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