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Value at risk essay


value at risk essay

out-of-sample results are similar to those of the in-sample VaR analysis. Table 3: estimation results and diagnostic tests for, and models Panel A: estimation results.1348*.1259*.0903* (2.9930) (2.7140) (1.8980).1653*.0512*.1909* (2.8150) (2.6870) (3.8550).3836*.0466*.4025* (6.1020) (23.09) (6.6400).7123*.9638*.7081* (12.6600) (80.0400) (14.12).4689*.0512.4516* (7.7830) (1.1810) (8.809) -0.010. Overall, our findings confirm hypothesis dissertation proposal that taking into account long-range memory clustering volatility and fat tails in the behavior of time series, combined with filtering process such as are important in improving risk management assessments and hedging strategies. Velasco (1999) has shown that consistency extends to and asymptotic normality. Turning to the goodness-of-fit tests, our results indicate that we cannot reject the null hypothesis of correct model specification since the Box-Pierce test statistics computed with 10 lags for both standardized residuals and squared standardized residuals show no serial correlation and no remaining effect.

value at risk essay

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All of which include some type of uncertainty about potential outcomes. Definition of Value at Risk (VaR). Extreme value theory has middlebury supplement essay 2017 been applied in different area where extreme losses may appear, in hydrology (Davidson and Smith, 1990; Katz and., 2002). In this study, the backtesting VaR is based on the Kupiecs (1995) and Engel and Manganelli (2004) for unconditional and conditional coverage tests. The bandwidth parameter was set to in Geweke and Porter-Hudak (1983).


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