dc.contributor.advisor |
Huang, Chun-Sung |
en_ZA |
dc.contributor.author |
De Alessi, Alessando
|
en_ZA |
dc.date.accessioned |
2014-12-28T14:52:04Z |
|
dc.date.available |
2014-12-28T14:52:04Z |
|
dc.date.issued |
2013 |
en_ZA |
dc.identifier.citation |
De Alessi, A. 2013. A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE. University of Cape Town. |
en_ZA |
dc.identifier.uri |
http://hdl.handle.net/11427/10362
|
|
dc.description |
Includes abstract. |
en_ZA |
dc.description |
Includes bibliographical references. |
en_ZA |
dc.description.abstract |
This paper is an investigation into the performance of GARCH-based VaR models on the South African FTSE/JSE Top 40 Index. Specifically, this paper investigates whether stability has returned to the VaR measure following its poor performance during the latest global financial crisis (2007). GARCH models are used in both an analytic and historical approach for modeling 1%, 2.5% and 5% daily VaR for a three year backtest period (2010-2012). Four distributions are used: the normal, generalised error, t-distribution and the skewed t-distribution. A particular question asked by this paper, is whether the data from the latest financial crisis (2007) should be used in estimating VaR in a post-crisis market. To investigate this, all models are re-estimated using data that has the financial crisis and/or high volatility period removed, then the results across the two data sets are compared. The take away point from this research is that the volatility-clustering mechanism inherent in every GARCH model is capable of producing accurate VaR estimates in a post-downturn/lower-volatility market even when the data on which the model was estimated contains financial downturn/volatile data. There is strong evidence suggesting stability has returned to this measure - however caution remains over using over-simplified models. |
en_ZA |
dc.language.iso |
eng |
en_ZA |
dc.subject.other |
Mathematical Finance |
en_ZA |
dc.title |
A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
en_ZA |
dc.type |
Master Thesis |
|
uct.type.publication |
Research |
en_ZA |
uct.type.resource |
Thesis
|
en_ZA |
dc.publisher.institution |
University of Cape Town |
|
dc.publisher.faculty |
Faculty of Commerce |
en_ZA |
dc.publisher.department |
Division of Actuarial Science |
en_ZA |
dc.type.qualificationlevel |
Masters |
|
dc.type.qualificationname |
MPhil |
en_ZA |
uct.type.filetype |
Text |
|
uct.type.filetype |
Image |
|
dc.identifier.apacitation |
De Alessi, A. (2013). <i>A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/10362 |
en_ZA |
dc.identifier.chicagocitation |
De Alessi, Alessando. <i>"A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013. http://hdl.handle.net/11427/10362 |
en_ZA |
dc.identifier.vancouvercitation |
De Alessi A. A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10362 |
en_ZA |
dc.identifier.ris |
TY - Thesis / Dissertation
AU - De Alessi, Alessando
AB - This paper is an investigation into the performance of GARCH-based VaR models on the South African FTSE/JSE Top 40 Index. Specifically, this paper investigates whether stability has returned to the VaR measure following its poor performance during the latest global financial crisis (2007). GARCH models are used in both an analytic and historical approach for modeling 1%, 2.5% and 5% daily VaR for a three year backtest period (2010-2012). Four distributions are used: the normal, generalised error, t-distribution and the skewed t-distribution. A particular question asked by this paper, is whether the data from the latest financial crisis (2007) should be used in estimating VaR in a post-crisis market. To investigate this, all models are re-estimated using data that has the financial crisis and/or high volatility period removed, then the results across the two data sets are compared. The take away point from this research is that the volatility-clustering mechanism inherent in every GARCH model is capable of producing accurate VaR estimates in a post-downturn/lower-volatility market even when the data on which the model was estimated contains financial downturn/volatile data. There is strong evidence suggesting stability has returned to this measure - however caution remains over using over-simplified models.
DA - 2013
DB - OpenUCT
DP - University of Cape Town
LK - https://open.uct.ac.za
PB - University of Cape Town
PY - 2013
T1 - A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
TI - A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
UR - http://hdl.handle.net/11427/10362
ER -
|
en_ZA |