Can I read GARCH Model for Financial Risk Management on EtoBox?

GARCH Model for Financial Risk Management by Pratik Jain is a document available to read on EtoBox.

What is GARCH Model for Financial Risk Management about?

This document discusses volatility forecasting and risk measurement using GARCH models. It summarizes a GARCH(1,1) model and compares its variance forecasts to other models. It also compares Value at Risk estimates from historical simulation, RiskMetrics, and GARCH models, finding that GARCH performs best. The document then introduces the GJR-GARCH and EGARCH models for capturing leverage effects.

Author

Pratik Jain

Language

EN