GARCH-Extreme Model For VaR Prediction
Risk measurement is necessary for risk management. A risk measure that can be used is Value-at-Risk (VaR), which is the tolerated maximum loss at some probability level. Understanding risk contained on asset investment, investor will be able to predict the possible risk in the future. This study wil...
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id-itb.:251022018-06-04T10:15:59ZGARCH-Extreme Model For VaR Prediction Nawa Irawan Putro (NIM: 20815004), Agil Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/25102 Risk measurement is necessary for risk management. A risk measure that can be used is Value-at-Risk (VaR), which is the tolerated maximum loss at some probability level. Understanding risk contained on asset investment, investor will be able to predict the possible risk in the future. This study will investigate the VaR prediction for asset returns. Asset returns has volatility changing over time which will be modeled by GARCH Model. However, the application of GARCH Model is less suitable for returns with extreme values. Hence, the VaR prediction will be applied to GARCH-Extreme Model, which only utilize extreme values of the volatility of returns. The VaR prediction then will be backtested by counting the violations occured. text |
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Risk measurement is necessary for risk management. A risk measure that can be used is Value-at-Risk (VaR), which is the tolerated maximum loss at some probability level. Understanding risk contained on asset investment, investor will be able to predict the possible risk in the future. This study will investigate the VaR prediction for asset returns. Asset returns has volatility changing over time which will be modeled by GARCH Model. However, the application of GARCH Model is less suitable for returns with extreme values. Hence, the VaR prediction will be applied to GARCH-Extreme Model, which only utilize extreme values of the volatility of returns. The VaR prediction then will be backtested by counting the violations occured. |
| format |
Theses |
| author |
Nawa Irawan Putro (NIM: 20815004), Agil |
| spellingShingle |
Nawa Irawan Putro (NIM: 20815004), Agil GARCH-Extreme Model For VaR Prediction |
| author_facet |
Nawa Irawan Putro (NIM: 20815004), Agil |
| author_sort |
Nawa Irawan Putro (NIM: 20815004), Agil |
| title |
GARCH-Extreme Model For VaR Prediction |
| title_short |
GARCH-Extreme Model For VaR Prediction |
| title_full |
GARCH-Extreme Model For VaR Prediction |
| title_fullStr |
GARCH-Extreme Model For VaR Prediction |
| title_full_unstemmed |
GARCH-Extreme Model For VaR Prediction |
| title_sort |
garch-extreme model for var prediction |
| url |
https://digilib.itb.ac.id/gdl/view/25102 |
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1822921448268759040 |