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Dissertations / Theses on the topic 'VAR-GARCH Model'

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Published: 4 June 2025

Last updated: 1 August 2025

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1

Andersson, Oscar, and Erik Haglund. "Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-243245.

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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.

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2

Telmoudi, Fedya. "Estimation and misspecification Risks in VaR estimation." Thesis, Lille 3, 2014. http://www.theses.fr/2014LIL30061/document.

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Dans cette thèse, nous étudions l'estimation de la valeur à risque conditionnelle (VaR) en tenant compte du risque d'estimation et du risque de modèle. Tout d'abord, nous considérons une méthode en deux étapes pour estimer la VaR. La première étape évalue le paramètre de volatilité en utilisant un estimateur quasi maximum de vraisemblance généralisé (gQMLE) fondé sur une densité instrumentale h. La seconde étape estime un quantile des innovations à partir du quantile empirique des résidus obtenus dans la première étape. Nous donnons des conditions sous lesquelles l'estimateur en deux étapes de

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Alsaedi, Yasir H. "An Investigation of the Effects of Solar and Wind Prices on the Australia Electricity Spot and Options Markets: A Time Series Analysis." Thesis, Griffith University, 2021. http://hdl.handle.net/10072/410472.

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Electricity pricing is recognised as being among the most important contemporary policy issues in Australia, and it also represents a critical component of current discussions concerning energy and climate-change policies. Attempts to move forward with energy and climate-change policies have been mostly stymied by concerns regarding potential increases in electricity prices. In relation to such policy discussions, renewable electricity generation is currently considered to be a fundamental factor influencing electricity prices. Due to the increasing penetration of both wind and solar power gen

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Santos, Julio Cesar Grimalt dos. "Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13521.

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Bisová, Sára. "Modely vývoje inflace a její volatility v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73484.

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This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with

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6

Alshogeathri, Mofleh Ali Mofleh. "Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market." Diss., Kansas State University, 2011. http://hdl.handle.net/2097/11989.

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Doctor of Philosophy<br>Department of Economics<br>Lance J. Bachmeier<br>This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and

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Melcher, Ota. "Spekulační aktivita na trhu s ropou a její vliv na cenu komodity." Doctoral thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-261935.

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This study aims to analyse the precrisis period on the oil markets with a primary objective of assessing the role of speculation in the commodity's price development and its volatility. First it depicts the rapidly increasing speculative activity on the futures market together with the parallel oil price surge. The speculation is initially proxied by non-commercial traders' positions and subsequently quantified by Working's T-index. The paper then uses speculative traders' positions and both spot and futures prices to test for Granger causality within the framework of VAR models. For the sake

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DELLA, NOCE MATTEO. "Un modello VAR-GARCH multivariato per il mercato elettrico italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1108.

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E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettric

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DELLA, NOCE MATTEO. "Un modello VAR-GARCH multivariato per il mercato elettrico italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1108.

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E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettric

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10

Zhou, Dongya. "VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET." Thesis, Uppsala universitet, Statistiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412997.

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With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. The results indicate that E-ARMA-GARCH model fifits the best due to the signifificant heteroscedasticity and leverage effect of Chinese mainland stock market. It

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Ramalho, Diogo Ricardo Vieira. "Predictive performance of value-at-risk models: Covid-19 “Pandemonium”." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20949.

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Mestrado em Mathematical Finance<br>Atualmente, os modelos Value-at-Risk (VaR), têm um papel muito importante a nível dos Mercados Financeiros, sendo uma das ferramentas mais utilizadas, por analistas financeiros, para gestão e estimação de risco de mercado. Nesta tese, três métodos de estimação de VaR, nomeadamente o método de Simulação Histórica, GARCH(1,1) e o método EVT-POT Dinâmico, foram aplicados. O propósito deste trabalho é estimar modelos VaR para os países: EUA, França, Alemanha, Itália, Japão, Reino Unido, China, Espanha e Portugal, com um intervalo de tempo desde 1 de Janeiro de

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Daitx, Fernando. "Dois modelos de controle de risco: o modelo Nelson-Siegel dinâmico e o cálculo de VaR por modelos GARCH." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13826.

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Submitted by Fernando Daitx (fernandodait@fgvmail.br) on 2015-06-21T17:21:43Z No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5)<br>Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-06-22T19:58:43Z (GMT) No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-06-29T12:04:21Z (GMT) No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum:

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Nyssanov, Askar. "An empirical study in risk management: estimation of Value at Risk with GARCH family models." Thesis, Uppsala universitet, Statistiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-201397.

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In this paper the performance of classical approaches and GARCH family models are evaluated and compared in estimation one-step-ahead VaR. The classical VaR methodology includes historical simulation (HS), RiskMetrics, and unconditional approaches. The classical VaR methods, the four univariate and two multivariate GARCH models with the Student’s t and the normal error distributions have been applied to 5 stock indices and 4 portfolios to determine the best VaR method. We used four evaluation tests to assess the quality of VaR forecasts: - Violation ratio -

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Nybrant, Arvid, and Henrik Rundberg. "Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

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Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. In this paper, we evaluate the use of the GARCH(1,1)-, EGARCH(1,1)- and the APARCH(1,1) model for estimation of this measure under the assumption that the conditional error distribution is normally-, t-, skewed t- and NIG-distributed respectively. For each model, the 95% and 99% one-day Value at Risk is computed using rolling out-of-sample forecasts for three equity indices. These forecasts are evaluated with Kupiec´s test fo

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Marques, João Bosco Dias 1963. "Metodologia de avaliação econômica de projetos de petróleo com emprego de cópulas e processos estocásticos autorregressivos." [s.n.], 2015. http://repositorio.unicamp.br/jspui/handle/REPOSIP/265801.

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Orientador: Osvair Vidal Trevisan<br>Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecânica e Instituto de Geociências<br>Made available in DSpace on 2018-08-27T14:50:44Z (GMT). No. of bitstreams: 1 Marques_JoaoBoscoDias_D.pdf: 8432350 bytes, checksum: 10f225750a03d8f222ff06c7a20cc1e7 (MD5) Previous issue date: 2015<br>Resumo: Esta tese, de caráter metodológico, é uma proposta de análise econômica de projetos de petróleo com emprego de cópulas e processos estocásticos autorregressivos envolvendo cinco variáveis fundamentais: o preço da commodity, a taxa mínima

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Stahel, Christof W. "International stock market liquidity." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091726658.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains xi, 110 p.; also includes graphics. Includes bibliographical references (p. 70-76).

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Mori, Renato Seiti. "Mensuração de risco de mercado com modelo Arma-Garch e distribuição T assimétrica." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18818.

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Submitted by RENATO MORI (rmori3@hotmail.com) on 2017-09-20T05:58:01Z No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5)<br>Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-20T17:58:58Z (GMT) No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5)<br>Made available in DSpace on 2017-09-21T13:36:32Z (GMT). No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5)

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Charleroy, Rémy. "External shocks and monetary policy in emerging countries." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010031.

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Chocs externes et politique monétaire dans les pays émergents<br>We investigate the conditional correlation between exchange rate and inﬂation by using a multivariate BEKK GARCH model. This framework is tested on 20 emerging countries independently of each other and it allows one to consider the macroeconomic variables as having a nonlinear relationship over time. We show that the less credible a country is in applying an IT framework because of its monetary objectives or its interventions in the foreign exchange rate markets, the higher the interactions between both variables are. We also sho

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Chow, Yeh-Shi, and 周業熙. "Application of GARCH-type model at VaR." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/42214286155824268490.

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碩士<br>東吳大學<br>經濟學系<br>90<br>Along with Taiwan enters WTO and BIS announces that risk management will be constrained regulation after 2005, calculation of VaR has became a hot topic in the world. However, literatures report that the empirical distributions of return in most of financial assets have fat-tail phenomenon. To remedy the under-estimated VaR problem, this study tries to investigate whether the estimation of variance and covariance matrix by GARCH-type model can improve traditional calculation of VaR. The empirical results show that the GARCH-type model have better forecast ability on

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WU, TING-YING, and 吳亭穎. "Estimation of Portfolio VaR – Multivariate MAR-GARCH Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/87596241970214957626.

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碩士<br>國立臺北大學<br>統計學系<br>96<br>This thesis mainly develops and tests new VaR measurement model, multi-variables MAR-GARCH model, for investors to estimate the risk of portfolio efficiently. With this new model, investors can maximize the profits under the control of portfolio risk. Wong and Li(2001) and Lanne and Saikkonen(2003) introduce single-variable MAR-GARCH model. In nowadays, VaR measurement only for single-asset is inappropriate. Under considering the covariance structure of portfolio assets, we urge multi-variables MAR-GARCH model to estimate the portfolio VaR. The data we used are co

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Hsu, Chih-Jung, and 許致榕. "Importance sampling for VaR and ES calculations under GARCH model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/j3n8a7.

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碩士<br>國立中央大學<br>統計研究所<br>101<br>Value-at-risk (VaR) is not only broadly used in portfolio risk measurement but also becomes an important benchmark in risk-management. Moreover, expected shortfall (ES) is a risk measure and has more information about the distribution of returns in the tail. Thus, evaluating precision of VaR and ES is getting more attention. In this paper, we suggest a symmetric GARCH(1,1) model to fit the loss data. Then, we propose an importance sampling technique to reduce the variance and estimate VaR and ES accurately. Besides, we find the method with importance sampling wh

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Chang, Shu-Yi, and 張淑怡. "Apply VaR Model from Orthogonal Garch and Garch Bootstrap to the Research of Domestic Mutual Fund." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/28002262519702247859.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>92<br>Due to domestic investigations are focus more on VaR of stocks, bonds, and foreign exchange, but less on mutual fund. And investigation of mutual fund are more on simulation-based method (ex. Monte Carlo Simulation), but less are on paramentric-based method. Therefore, our research tries to use either GARCH(1,1) and Bootstrap method for estimated method to improve shortcomings of trditonal Delta-Normal method. In addition, our research incorporates Orthogonal GARCH and GARCH Bootstrap model which haven’t explore in past literatures to polish up shortcomings

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Chou, Yu-Lin, and 周佑霖. "Performance of VaR under GARCH Model-Evidence from Taiwan Stock Exchange." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/534x42.

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Chen, Szu-Yin, and 陳思尹. "Synchronization of monthly real GDP :analysis by VAR-DCC-GARCH model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/8atjxw.

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碩士<br>輔仁大學<br>經濟學系碩士班<br>102<br>The purpose of this paper is to disaggregate quarterly GDP into monthly GDP and then estimate the pair-correlation and VAR-DCC-GARCH model to measure the synchronization between individual countries and euro area. Then we attempt to compare these two results. The data which we use is from January, 1999 to December, 2010 in 13 countries. The empirical results reveal that the figures for the pair-correlation are higher than that for VAR-DCC-GARCH model. That is, we may overestimate when adopting pair-correlation. In addition, although Czech Republic and Hungary a

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Lai, Cheng-Hung, and 賴政宏. "Applied GARCH-EVT-Copula Model to Estimate the VaR of Exchange Portfolio." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/16228086246149073528.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>103<br>The work focuses on risk management of foreign exchange portfolio and it consists of the nations who often trade internationally with Taiwan. Additionally, those nations are also the member of Asia-Pacific Economic Cooperation, including China, Hong Kung, Singapore, USA, Japan and South Korea. However, the work also consider the date that the government of China changed its exchange rate policy on July 21st in 2005. That’s the reason we decided to accept the data of exchange rate from that day to July 21st in 2014. We applied nonlinear static and dynamic GARCH

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CHEN, Ze-Fang, and 陳澤芳. "Study on The VaR for BRICS Portfolios -Using GJR-GARCH-Copula Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/3f5g78.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>106<br>This study uses the GJR-GARCH-Copula model to evaluate the risk value of investment portfolios in BRICS and whether the investment portfolio of BRICS can continue to provide stable and reasonable remuneration under the dramatic changes in the global financial environment in recent years. The most representative index among the five BRICS is selected. This paper also discusses and measures the risk value of BRICS portfolios by adding the copula model, and further hopes to obtain more accurate risk value estimates. 1.Detection of the investment portfolio of the

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Yang, Shun-Yu, and 楊舜育. "Apply GARCH-Copula Model in the Evaluation of VaR for ASEAN-5 Portfolios." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/3nwx44.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>102<br>The study applies GARCH-Copula Model to evaluate Value at Risk for portfolios of ASEAN-5. Then use penetration ratio and Likelihood Ratio Test which Kupiec （1995） proposed to evaluate the accuracy of VaR model.Hoping to find a suitable estimate of Value at Risk for portfolios of ASEAN-5. In order to facilitate Portfolio market risk assessment、control and planning. The results of study, GARCH-Copula model at the 5% significance level, both in the full sample or after the financial tsunami, the estimated of Value at Risk are effectively, and better than the trad

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Chang, Che-Cheng, and 張哲晟. "A Study of the Relationships of Metal, Oil and Stock markets─Bivariate VAR-GARCH Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/67254363408702722079.

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碩士<br>國立臺北商業技術學院<br>財務金融研究所<br>102<br>This paper employs a bivariate VAR-GARCH model and DCC model to investigate the return links and volatility transmission between the S&P 500 index and two commodity markets: the metal and oil markets from 2000, 1, 4 to 2013, 9, 30. The metal markets are represented by the gold, silver and copper returns, while the oil markets are represented by the WTI and Brent crude oil returns. Through the Granger causality test, the empirical test shows that the returns of S&P500 index can unidirectional Granger cause the return of the gold, silver, copper, WTI and

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Huang, Hsiao-Chin, and 黃小菁. "Application of DCC Multivariate GARCH Model at VaR－Evidence from G7 and Taiwan''s Stock Markets." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/26166602562701366460.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>93<br>The purpose of this study is to find a more effective model to forecast Value-at-Risk (VaR). Due to a portfolio usually holds numerous assets, it would be difficult to estimate the very large covariance matrix that is required to caculate VaR. In this paper, we apply the Dynamic Conditional Correlation (DCC) multivariate GARCH model, proposed by Engle (2002), to estimate the future market risk. We also use two other variance-covariance forecast models, such as SMA and EWMA to compare the results. Through a portfolio composed of eight indices from the G7 (Americ

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Li, Chung-Hsu, and 李衷旭. "A Portfolio Management Strategy Based on GARCH Model with Fat-Tailed Innovations and Mean-VaR Optimization." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/38zmq9.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>104<br>The well-known behavior of volatility clustering in ﬁnancial time series and the weakness of using sample variance as a measure of risk make the traditional mean–variance framework for portfolio selection no longer an appropriate way for investors to manage their portfolios. The GARCH model and the mean-VaR optimization provide a reasonable solution to these problems. The aim of this study is to construct a portfolio management strategy based on a framework of mean-VaR optimization and a GARCH model with fat-tailed innovations. We assume that all assets in a

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Chuo, Chao-min, and 卓朝閔. "The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/5245am.

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碩士<br>國立中央大學<br>產業經濟研究所碩士在職專班<br>97<br>The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures This paper studies how to compute correctly VaR of TAIEX Futures by GARCH model. In Taiwan, TAIEX Futures had becoming a major investment and a leading index in recent years. TAIEX Futures is a leader not follower for TAIEX. So, it is important issue for institutional investor to calculate market risk of TAIEX Futures hence Basel II be published. The empirical results prove that VaR of TAIEX Futures can be calculated right by GARCH model. The value at risk

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Livingston, Jr Glen. "A Bayesian analysis of a regime switching volatility model." Thesis, 2017. http://hdl.handle.net/1959.13/1342483.

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Research Doctorate - Doctor of Philosophy (PhD)<br>Non-linear time series data is often generated by complex systems. While linear models provide a good first approximation of a system, often a more sophisticated non-linear model is required to properly account for the features of such data. Correctly accounting for these features should lead to the fitting of a more appropriate model. Determining the features exhibited by a particular data set is a difficult task, particularly for inexperienced modellers. Therefore, it is important to move towards a modelling paradigm where little to no user

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Ketzer, Jaroslav. "Přelivy výnosů a volatility mezi finančními trhy v centrální Evropě." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-333297.

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This diploma thesis is devoted to the linkages among stock, bond and foreign exchange markets in the Czech Republic, Austria, Germany and Poland during the period from the beginning of the year 2007 to the end of the year 2014. In order to complexly describe the interconnections among the markets, we utilized two kinds of spillover indices (from the generalized and structural VAR model), dynamic correlation coefficients obtained from the multivariate GARCH model and contemporaneous coefficients from the structural VAR model that was identified through heteroskedasticity in structural shocks. T

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Zienius, Rimas. "Economic growth and business cycles movements in Baltic and Western European countries." Master's thesis, 2018. http://hdl.handle.net/10773/31500.

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The present dissertation has as main goal analyze the differences of economic growth dynamics between Baltic countries and Western European countries. With this purpose data from OECD database was studied for the countries of Lithuania, Latvia, Estonia, Germany, France and United Kingdom. The analyzed period was the years from 1995 to 2017. The research consists of two main parts: analysis of the business cycle stages and the factors that affect GDP growth in Baltic and Western European countries. To identify business cycles stages we used the Hodrick-Prescott Filter and for the identification

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Qin, Xiaoyan. "Essays on Pricing Behaviors of Energy Commodities." Thesis, 2011. http://hdl.handle.net/1969.1/ETD-TAMU-2011-05-9282.

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This dissertation investigates the pricing behaviors of two major energy commodities, U.S. natural gas and crude oil, using times series models. It examines the relationships between U.S. natural gas price variations and changes in market fundamentals within a two-state Markov-switching framework. It is found that the regime-switching model does a better forecasting job in general than the linear fundamental model without regime-switching framework, especially in the case of 1-step-ahead forecast. Studies are conducted of the dynamics between crude oil price and U.S. dollar exchange rates.

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Ping, Chen Sheh, and 陳世平. "A Study on the Interactions between Institutional and General Public Investors and Its Relationships to Stocks Market-An Application of Multivariate VAR GJR-GARCH MODEL-." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/80104092258017129327.

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碩士<br>國立臺北大學<br>合作經濟學系<br>93<br>The purpose of this thesis is to analyze the relationships of the investment behaviors between institutional and general public investors in Taiwan Stock Market and their effects on the index of Taiwan weighted stock price. The above relationships have been tested and examined by the VAR GJR-GARCH Model. The research objects include the general public investors and the institutional investors which including dealers, securities investment trust companies, foreign investors and general public. The daily purchase on margin transactions in stock market used as a pr

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LIN, JUEI-TAI, and 林瑞泰. "A Study on the Relationships , Asymmetric Volatility Switching and Mean Reverting Property for Stock Price Index, Exchange Rate and Foreign Capitals in Taiwan：An Application of Multivariate VAR ANST GARCH-M Model." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/76893023586210254443.

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碩士<br>國立臺北大學<br>合作經濟學系<br>94<br>A Study on the Relationships , Asymmetric Volatility Switching and Mean Reverting Property for Stock Price Index, Exchange Rate and Foreign Capitals in Taiwan：An Application of Multivariate VAR ANST GARCH-M Model ABSTRACT: The purposes of this study is to explore relationships among stock price index , exchange rate and foreign capitals in Taiwan and to detect whether these markets exist asymmetric volatility switching and asymmetric mean reverting property or not .To achieve this purpose in this research, the multivariate GARCH models which include the asymmet

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Hong, Chao-Heng, and 洪肇亨. "VaR Estimation with Asymmetric GARCH Models." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/91254896042078049226.

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碩士<br>東吳大學<br>企業管理學系<br>91<br>Some well-known characteristics are common to many financial time series. Volatility clustering is often observed (i.e. large changes tend to be followed by large changes and small changes tend to be followed by small changes; see Mandelbrot, 1963, for early evidence). Second, financial time series often exhibit leptokurtosis, meaning that the distribution of their returns is fat-tailed (i.e. the kurtosis exceed the kurtosis of a standard Gaussian distribution, see Mandelbrot, 1963, or Fama, 1965). Moreover, the so-called “leverage effect”, first noted in Black (1

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Mombeyarara, Victor. "An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets." Thesis, 2017. http://hdl.handle.net/10539/23218.

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Master of Management in Finance & Investment Faculty of Commerce Law and Management Wits Business School University of The Witwatersrand 2016<br>The Value-at-Risk (VaR) measurement – which is a single summary, distribution independent statistical measure of losses arising as a result of market movements – has become the market standard for measuring downside risk. There are some diverse ways to computing VaR and with this diversity comes the problem of determining which methods accurately measure and forecast Value-at-Risk. The problem is two-fold. First, what is the distribution of return

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Hsiao, Yu-Hsin, and 蕭毓昕. "Dynamic Linkages among Crude Oil, Gold and US Dollar Before and After Financial Crisis: ACCC, ADCC and VAR-GARCH Models." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/7657rv.

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碩士<br>國立臺北商業大學<br>財務金融系研究所<br>107<br>This research paper uses data from January 3rd, 2000 to October 10th, 2008. It uses the collapse of the Lehman Brothers on September 15th, 2008 as a time point for structural changes. This research looks at the changes before and after the financial crisis that happened following the collapse. Using the Granger causality relationship, ACCC, ADCC, and VAR-GARCH models, this paper explores the possible volatility persistence in crude oil, gold, and the US dollar. It also examines return transmissions and volatility spillovers among due to aftermath of the fin

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Tesárová, Viktória. "Value at Risk: GARCH vs. modely stochastické volatility: empirická studie." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-305041.

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The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t distributed errors and its empirical forecasting per- formance of Value at Risk on five stock price indices: S&P, NASDAQ Com- posite, CAC, DAX and FTSE. It introduces in details the problem of SV models Maximum Likelihood examinations and suggests the newly devel- oped approach of Efficient Importance Sampling (EIS). EIS is a procedure that provides an accurate Monte Carlo evaluation of likelihood function which depends upon high-dimensional numerical integrals. Comparison analysis is divided int

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Lin, Fei. "Volatility modeling based on GARCH-skewed-t-type models for Chinese stock market." Master's thesis, 2019. http://hdl.handle.net/10071/18940.

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As an emerging stock market with enormous potential, Chinese stock market has apparent volatility clustering appearance along with typical feature of leptokurtic, negative skewness and fat tail in its index yield series. The model based on traditional normal distribution often underestimate the risk, which would lead to profound loss for the investors and financial institution when the extreme events happened. VaR(Value at Risk), which measures risk as a certain value, is widely used in financial industry for its intuitive and concise characteristics. Since parameter method of the VaR ca

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Jánský, Ivo. "Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-297428.

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The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower vo

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Asseiceiro, Mariana de Sousa Magalhães. "Risk and returns of financial stock market indices: an empirical application." Master's thesis, 2019. http://hdl.handle.net/10071/19695.

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In this dissertation it is presented an empirical study that focus the period from 3 January 2007 to 1 October 2018, about the interactions between stock markets of Europe, United States of America (USA) and Asia, by implementing a generalized vector autoregressive (VAR) model and a dynamic conditional correlation (DCC) model. For this purpose, three different stock market indices (Euro Stoxx 50 - Europe, S&P 500 – USA, and Nikkei 225 – Asia) were chosen to be representative of each geography they concern, in order to inquire if the indices are related between each other or not. In general,

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