'Garch models' diaporamas de présentation

13 th AFIR Colloquium 2003

13 th AFIR Colloquium 2003. The estimation of Market VaR using Garch models and a heavy tail distributions. The dynamic VaR and The Static VaR. The Garch Models The Heavy tails distributions. 13 th AFIR Colloquium 2003. The market VaR.

445 views • 44 slides

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai McGill University . FDIC Risk Management Conference April 12 th 2008. 1/18. Objectives . To understand how should jump dynamics be specified.

513 views • 37 slides

Student : Becar Iuliana Supervisor: Professor Moisa Altar

DISSERTATION PAPER Modeling and F orecasting the V olatility of the EUR / ROL E xchange R ate U sing GARCH M odels. Student : Becar Iuliana Supervisor: Professor Moisa Altar. Table of Contents. The importance of forecasting exchange rate volatility. Data description.

504 views • 37 slides

Correlation Measures

Correlation Measures. Intuition: Correlation Measures seek to quantify statistically how closely related variables are. Correlation Limitations. Covariance stationarity for a time series, y(t), is defined as: Constant, finite mean Constant, finite variance

303 views • 29 slides

Copula approach to modeling of ARMA and GARCH models residuals

519 views • 23 slides

GARCH Models and Asymmetric GARCH models

422 views • 23 slides

Copula approach to modeling of ARMA and GARCH models residuals

237 views • 23 slides

Dynamic Principal Components in Optimal Portfolio Selection

Dynamic Principal Components in Optimal Portfolio Selection. Rodwel Mupambirei, C.G Troskie, R. Guo, N. Hossain Department of Statistical Science University of Cape Town. Agenda. Multiple Index Models Principal Components Principal Components Regression

444 views • 21 slides

Forecasting BET Index Volatility

Forecasting BET Index Volatility. MSc.: R ? zvan Ghelmeci Supervisor: Prof. Mois ? Alt ? r. Introduction.

205 views • 20 slides

Calibration of Interest Rate Models:Transition Market Case

Calibration of Interest Rate Models:Transition Market Case. Martin Vojtek martin.vojtek@cerge-ei.cz. MOTIVATION. Need for pricing of interest rates (IR) derivatives in transition countries Precise pricing is based on correct calibration of chosen IR models. MOTIVATION.

261 views • 16 slides