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Theses/Dissertations

Statistics and Probability

City University of New York (CUNY)

Bayesian model averaging

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Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir Aug 2019

Garch Modeling Of Value At Risk And Expected Shortfall Using Bayesian Model Averaging, Ismail Kheir

Theses and Dissertations

This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.

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