Model for risk and forecasting
$10-30 USD
착불
In this paper, analyse a time series and modelled around several models of the GARCH family, in order to estimate the conditional volatility; also referred to the Realized Volatil- ity and estimated the main models on it (MEM, HAR and RGARCH). Then through the VaR and ES estimations via parametric (GARCH models), non-parametric (Historical Simulation) and semi-parametric (Quantile models) approaches and the relatives backtesting. Lastly, the Model Confidence Set procedure has been implemented to better catch whose model is the best to compute VaR and ES forecasting. Worked in r studio
프로젝트 ID: #33993990
프로젝트 소개
이 일자리에 대한 프리랜서 8 명의 평균 입찰가: $104
Hi I am a very experienced statistician, data scientist and academic writer. I have completed several PhD level thesis projects involving advanced statistical analysis of data. I have worked with data from several comp 기타
Hi, We have read your description and we can do it for you on time. Our versatile and dedicated team members have experienced in these types of projects. Price is negotiable and our main motive is to provide quality pr 기타
Dear client I have gone through your project details and understood I will provide quality and satisfactory work for you at a cheaper price, I will provide 100% original work for you. Please open your messenger so that 기타
I am experienced with working on the various financial and risks models in a Financial firm. This experience allows me to work on it confidently.
