AbstractsEconomics
Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR
| Institution: | Uppsala University |
|---|---|
| Department: | |
| Year: | 2015 |
| Keywords: | Value at Risk; GARCH; EGARCH; GJR-GARCH; Volatility and Forecasting; Natural Sciences; Mathematics; Probability Theory and Statistics; Naturvetenskap; Matematik; Sannolikhetsteori och statistik; Bachelor Programme in Business and Economics; Ekonomie kandidatprogrammet; Statistics; Statistik |
| Record ID: | 1356747 |
| Full text PDF: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-243245 |
Abstract
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.
