Assessing the Performance of Value-at-Risk Models in London Stock Market

PHAN, Ha (2009) Assessing the Performance of Value-at-Risk Models in London Stock Market. [Dissertation (University of Nottingham only)] (Unpublished)

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB)

Abstract

In this paper, parametric, nonparametric, and semi parametric models are applied to a hypothetical portfolio consisting a single asset - FTSE 100 Index, to assess their performance in the London stock market. In order to assess the performance of different approaches, the statistic features such as kurtosis, skewness and autocorrelation of daily return have been studied. In addition, this article analyzes the advantages and disadvantages of each model and implements back-tests to check the validation of them. The main finding of this article is that NGARCH and GARCH(1,1)-t(d) model are the most accurate and reliable models to estimate Value at Risk in London Stock market.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 04 Feb 2010 10:29
Last Modified: 24 Oct 2016 11:17
URI: http://eprints.nottingham.ac.uk/id/eprint/23213

Actions (Archive Staff Only)

Edit View Edit View