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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 …