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A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
Includes abstract.
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2014
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| _version_ | 1867613254788841473 |
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| access_status_str | Open Access |
| author | De Alessi, Alessando |
| author2 | Huang, Chun-Sung |
| author_browse | De Alessi, Alessando Huang, Chun-Sung |
| author_facet | Huang, Chun-Sung De Alessi, Alessando |
| author_sort | De Alessi, Alessando |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10362 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:13.838Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10362 A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE De Alessi, Alessando Huang, Chun-Sung Mathematical Finance Includes abstract. Includes bibliographical references. 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. 2014-12-28T14:52:04Z 2014-12-28T14:52:04Z 2013 Master Thesis Masters MPhil http://hdl.handle.net/11427/10362 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance De Alessi, Alessando A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| thesis_degree_str | Master's |
| title | A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| title_full | A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| title_fullStr | A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| title_full_unstemmed | A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| title_short | A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE |
| title_sort | post crisis investigation in to the performance of garch based historical analytical value at risk on the ftse |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/10362 |
| work_keys_str_mv | AT dealessialessando apostcrisisinvestigationintotheperformanceofgarchbasedhistoricalanalyticalvalueatriskontheftse AT dealessialessando postcrisisinvestigationintotheperformanceofgarchbasedhistoricalanalyticalvalueatriskontheftse |