Range-Based Approach To Volatility Modelling And Forecasting Value-At-Risk
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Date
2020Author
Nyamache, Francis M
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
The purpose of this thesis is to model and forecast value-at-risk based on range-measuring
rather than the commonly acknowledged volatility models that are based on closing prices.
The use of close-to-close prices in modelling and forecasting value-at-risk might not capture
important intra-day information about the price movement. As a result, crucial price
movement information is lost and consequently the model becomes less e cient. This
thesis recommends the inclusion or range-measuring, described as the di erence between
the highest and lowest prices of an underlying stock within a time interval, a day, to compute
Value-at-Risk. The project uses data of an NSE-listed and trading company, SASN,
between November 2009 and November 2019 on which the predictability of range-based
and close-to-close estimates was established. It was observed that the values obtained
by range-based models were more accurate than when only the daily closing prices are
used. The range-based models successfully capture dynamics of the volatility and achieves
improve performance relative to the GARCH-type models. These ndings are fairly consistent
and can be extended to applications like portfolio optimization.
Publisher
University of Nairobi
Subject
Forecasting Value-At-RiskRights
Attribution-NonCommercial-NoDerivs 3.0 United StatesUsage Rights
http://creativecommons.org/licenses/by-nc-nd/3.0/us/Collections
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