A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE

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dc.contributor.advisorHuang, Chun-Sungen_ZA
dc.contributor.authorDe Alessi, Alessandoen_ZA
dc.date.accessioned2014-12-28T14:52:04Z
dc.date.available2014-12-28T14:52:04Z
dc.date.issued2013en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis 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.identifier.apacitationDe 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/11427/10362en_ZA
dc.identifier.chicagocitationDe 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/11427/10362en_ZA
dc.identifier.citationDe 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.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
dc.identifier.urihttp://hdl.handle.net/11427/10362
dc.identifier.vancouvercitationDe 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/11427/10362en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleA post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSEen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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