GARCH Modeling of Value at Risk and Expected Shortfall Using Bayesian Model Averaging

Author

Ismail Kheir, CUNY Hunter CollegeFollow

Date of Award

Summer 8-9-2019

Document Type

Thesis

Degree Name

Master of Arts (MA)

Department

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.

Recommended Citation

Kheir, Ismail, "GARCH Modeling of Value at Risk and Expected Shortfall Using Bayesian Model Averaging" (2019). CUNY Academic Works.
https://academicworks.cuny.edu/hc_sas_etds/510