Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution

Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution

The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distri...

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Bibliographic Details
Main Authors: Midov, Askerbi, Balashov, Konstantin
Format: Others
Language:English
Published: Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE) 2008
Subjects:
Risk management
Value-at-Risk
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2201

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