Value at risk and multivariate GARCH model
| Autor: | Jia Ho Hsieh, 謝家和 |
|---|---|
| Rok vydání: | 1999 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 87 In this article, our purpose is wanted to search a more accuracy method to forecast value at risk. By the way enterprises can use it to manage their assets more efficiency. We use several kinds of variance forecast model to estimate the future market risk. Include the most common method exponential weighted moving average, three kinds of different types of univariate GARCH model and the multivariate BEKK GARCH model. Through a portfolio were composed by three kinds of different nation currencies, the empirical research derived the result that the value at risk which calculated from multivariate GARCH model has the best accuracy and efficiency. Although multivariate GARCH was difficult to estimate and should limited the numbers of portfolio, but multivariate GARCH model still is the best choice to calculate value at risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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