Undergraduate Honors Thesis
GARCH Based Risk Estimation in Emerging Market Foreign Exchange Rates 公开 Deposited
- Abstract
We examine four autoregressive conditional heteroskedasticity (ARCH) type models,
including one long memory and two asymmetric models, to assess their usefulness in Con-
ditional Value at Risk and Conditional Expected Shortfall estimation. Alongside the four
ARCH type models, we consider three additional models: historical simulation, standard
parametric, and RiskMetrics. Estimation is performed on the five foreign exchange rates
of the BRICS (Brazil, Russia, India, China, South Africa) emerging economies. We find
that there is no single best model but that model selection for risk analysis should be done
on an case by case basis. Furthermore, while the four ARCH type models produce similar
results when estimating risk measures, we find that the standard GARCH model typically
outperforms the asymmetric and long memory models when applied to out of sample data.
- Creator
- Date Awarded
- 2024-04-09
- Academic Affiliation
- Advisor
- Committee Member
- Granting Institution
- 最新修改
- 2024-04-18
- Resource Type
- 权利声明
- Language