Date of Award
Master of Arts (MA)
Academic Program Adviser
This thesis conducts Value at Risk (VaR) and Expected Shortfall (ES) estimation using GARCH modeling and Bayesian Model Averaging (BMA). BMA considers multiple models weighted by some information criterion. Through BMA, this thesis finds that VaR and ES estimates can be improved through enhanced modeling of the data generation process.
Kheir, Ismail, "GARCH Modeling of Value at Risk and Expected Shortfall Using Bayesian Model Averaging" (2019). CUNY Academic Works.