The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.
Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-2201 |
Date | January 2008 |
Creators | Midov, Askerbi, Balashov, Konstantin |
Publisher | Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) |
Source Sets | DiVA Archive at Upsalla University |
Language | English |
Detected Language | English |
Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
Format | application/pdf |
Rights | info:eu-repo/semantics/openAccess |
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