Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution
Year: 2008
Type: dissertation
Abstract: 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 distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.
Authors: Askerbi Midov, Konstantin Balashov
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W122578808