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Full-Text Articles in Statistics and Probability
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Arts & Sciences Electronic Theses and Dissertations
The financial stock market turned out to rise and fall suddenly and sharply in recent years, which means that volatility and uncertainty is very significant in market and measuring the market risk accurately is of great importance. I collect the historical close price of S&P 500 Financials Sector Index from January 19th 2011 to January 31st 2017, and use the daily logarithm yield as time series data to build 2 ARMA models and 5 GARCH family models using t-distribution. Then I calculate future 10 days’ relative VAR in 1-day horizon under 99\% confidence level based on the selected model. E-GARCH …
Spot Volatility Estimation Of Ito Semimartingales Using Delta Sequences, Weixuan Gao
Spot Volatility Estimation Of Ito Semimartingales Using Delta Sequences, Weixuan Gao
Arts & Sciences Electronic Theses and Dissertations
This thesis studies a unifying class of nonparametric spot volatility estimators proposed by Mancini et. al.(2013). This method is based on delta sequences and is conceived to include many of the existing estimators in the field as special cases. The thesis first surveys the asymptotic theory of the proposed estimators under an infill asymptotic scheme and fixed time horizon, when the state variable follows a Brownian semimartingale. Then, some extensions to include jumps and financial microstructure noise in the observed price process are also presented. The main goal of the thesis is to assess the suitability of the proposed methods …