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A comparison of multivariate GARCH models with respect to Value at Risk

Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares three different multivariate GARCH models and they are evaluated using out of sample Value at Risk of dif- ferent portfolios. Sector portfolios are used with different market capitalization. The models compared are the DCC,CCC and the GO-Garch model. The forecast horizon is 1-day, 5-day and 10-day ahead forecast of the estimated VaR limit. The DCC performs best with regards to both conditional anc unconditional violations of the VaR estimates.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-385521
Date January 2019
CreatorsBoman, Victor
PublisherUppsala universitet, Statistiska institutionen
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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