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Title: Evaluation of volatility forecasts
Authors: Candila, Vincenzo
Amendola, Alessandra
Amendola, Alessandra
Keywords: Multivariate GARCH models
Loss function
Value at risk
Issue Date: 5-Mar-2014
Publisher: Universita degli studi di Salerno
Abstract: The modelization of risk is a hard task for many financial institutions. This explains the great interest for the volatility models during last decades. In this framework, the volatility predictions deriving from a set of models is a partly unexplored research field. A general formulation of this problem involves the volatitlity proxy, the forecasting models, the forecasting scheme used to generate the predictions and the function employed to evalue the forecasts. In this thesis, the volatility proxy is the realized volatitlity while the forecasting models are the (univariate and multivariate) Garch models and the models that models that re-paranetrize the realized volatility... [edited by author]
Description: 2012 - 2013
Appears in Collections:Ingegneria ed economia dell'innovazione

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