Contact
Cum să cumpăr
Livrare
Consilier de cumpărături
VaR based on SMA, EWMA and GARCH(1,1) Volatility models
engleză
120 b
Până la 30 de zile pentru returnare
Clienții au cumpărat de asemenea
/
Carte broșată
94.88
lei
Lots of effort has been expended in improving volatility models since better forecasts translate in to better pricing of assets and better risk management. However the question as to what model should be used to calculate volatility, there is no unique answer as different volatility models were proposed in the literature and were being used by practitioners. To answer which VaR model adequately capture the market risk, three VaR models are tested on stock indices from Croatia, Serbia, Slovenia and Macedonia. The tested VaR models are: simple moving average with rolling windows of 50, 74 (proposed by Risk Metrics) and 100 days, EWMA using 0,9, 0,94 (proposed by Risk Metrics) and 0,96 as smoothing constant and different windows of 50, 74 and 100 days, and GARCH(1,1). VaR models are calculated for a one-day holding period at 95% and 99% coverage of the market risk. These competing models are evaluated on the basis of BLF error statistics. The challenge of this work is to come up with the best and easily implementable approach suitable to Former Yugoslavian stock exchange markets, especially for Macedonian and apply time series models for calculating Value at Risk.
Informații despre carte
engleză
Categorii
Dăruiește această carte chiar astăzi
Este foarte ușor
1 Adaugă cartea în coș și selectează Livrează ca un cadou 2 Îți vom trimite un voucher în schimb 3 Cartea va ajunge direct la adresa destinataruluiAr putea de asemenea, să te intereseze
/
Carte broșată
71.84
lei
/
Carte broșată
81.85
lei
/
Carte broșată
72.05
lei
/
Copertă tare
1 322.23
lei
/
Carte broșată
177.16
lei
/
Carte broșată
63.39
lei
Bună ziua! Sunt Libroamiko, consilierul dumneavoastră de cărți.
Cu ce vă pot ajuta?