Date of Award

Summer 8-9-2019

Document Type

Thesis

Degree Name

Master of Arts (MA)

Departments/Programs

Economics

First Advisor

Temisan Agbeyebe

Second Advisor

Matthew Baker

Academic Program Adviser

Randall Filer

Abstract

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.

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