Date of Award
Master of Arts (AM/MA)
The financial stock market turned out to rise and fall suddenly and sharply in recent years, which means that volatility and uncertainty is very significant in market and measuring the market risk accurately is of great importance. I collect the historical close price of S&P 500 Financials Sector Index from January 19th 2011 to January 31st 2017, and use the daily logarithm yield as time series data to build 2 ARMA models and 5 GARCH family models using t-distribution. Then I calculate future 10 days’ relative VAR in 1-day horizon under 99\% confidence level based on the selected model. E-GARCH model also shows the leverage effect of the time series, thus we know that the stock price is more sensitive to bad news than good news.
Chair and Committee
Renato Feres, José E. Figueroa-López
Chen, Qiandi, "Market Risk Management for Financial Institutions Based on GARCH Family Models" (2017). Arts & Sciences Electronic Theses and Dissertations. 1059.
Applied Statistics Commons, Finance and Financial Management Commons, Longitudinal Data Analysis and Time Series Commons
Permanent URL: https://doi.org/10.7936/K7B56H67