Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test the relative performance of selected GARCH-type models in terms of their ability of delivering volatility estimates. The second one is to contribute to extend the very scarce empirical research on VaR estimation in emerging financial markets. Methods/Approach: Using the daily returns of the Macedonian stock exchange index-MBI 10, we have tested the performance of the symmetric GARCH (1,1) and the GARCH-M model as well as of the asymmetric EGARCH (1,1)...
This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two di...
The measuring of risk has become one of the main fields in finance during the last two decades. Valu...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
This article considers the adequacy of generalised autoregressive conditional heteroskedasticity (GA...
In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARC...
In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARC...
In the financial industry, it has been increasingly popular to measure risk. One of the most common ...
Stock markets stand as an important element within the financial system. Financial crises of 2008 sh...
The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimatio...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two di...
The measuring of risk has become one of the main fields in finance during the last two decades. Valu...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
This article considers the adequacy of generalised autoregressive conditional heteroskedasticity (GA...
In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARC...
In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARC...
In the financial industry, it has been increasingly popular to measure risk. One of the most common ...
Stock markets stand as an important element within the financial system. Financial crises of 2008 sh...
The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimatio...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two di...
The measuring of risk has become one of the main fields in finance during the last two decades. Valu...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...