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

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 [Dissertation (University of Nottingham only)] (Unpublished)

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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: 08 Feb 2018 08:18
URI: https://eprints.nottingham.ac.uk/id/eprint/23213

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