Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19
Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. We account for stylized facts of asset...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för matematik (MA)
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-103856 |