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Summary - Forecasting with GARCH, Value at Risk
Preview 4 out of 12 pages
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 summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.
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Document information
- Study
- Msc Finance
- Summarized whole book?
- Unknown
- Uploaded on
- December 8, 2017
- Number of pages
- 12
- Written in
- 2017/2018
- Type
- Summary
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