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Summary - Forecasting with GARCH, Value at Risk $3.25   Add to cart
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  3. Vrije Universiteit Amsterdam (VU)
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  5. Empirical Finance

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Summary - Forecasting with GARCH, Value at Risk

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  • Course
  • Empirical Finance
  • Institution
  • Vrije Universiteit Amsterdam (VU)
  • Book
  • Introductory Econometrics for Finance

This is the summary of forecasting with GARCH and Value at Risk. The summary contains an explaination of the derivation of the GARCH model, evaluation of volatility forecast, value at risk, testing the VaR, how to judge if the VaR is correct, an example of the model, and the criticism. This summar...

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Document information

  • Unknown
  • December 8, 2017
  • 12
  • 2017/2018
  • Summary

Subjects

  • summary empirical finance
  • value at risk
  • forecasting
  • garch model
  • derivation of garch
  • evaluation
  • vrije university
  • vu university
  • opschoor
  • criticism of the value at risk
  • msc finance

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  • Vrije Universiteit Amsterdam (VU)
  • Msc Finance
  • Empirical Finance
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