A empirical study of one-day risk prognosis models, using Value-at-Risk and three different GARCH-models
This thesis assess three different conditional variance models from the GARCH family - GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) - and their accuracy in making one-day forecasts together with Value at Risk. The study is made on the daily returns of the OMX Stockholm 30 index between 2002-01-01 and 2010- 12-31. A five year in-sample set was used to estimate the model parameters and to make one-day
