This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two distributions (Normal and Student’s t), which are used to forecast the Value at Risk (VaR) for different return series. Seven major international equity indices are examined. The purpose of the essay is to answer which of the three models that is better at forecasting the VaR and which distribution is more appropriate. The results show that the EGARCH(1,1) is preferred for all indices included in the study.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-243245 |
| Date | January 2015 |
| Creators | Andersson, Oscar, Haglund, Erik |
| Publisher | Uppsala universitet, Statistiska institutionen, Uppsala universitet, Statistiska institutionen |
| 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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