Samenvatting
Summary - Forecasting with GARCH, Value at Risk
- Instelling
- Vrije Universiteit Amsterdam (VU)
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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