Browsing Faculty of Engineering, Built Environment & Design (FEng / FBD) by Subject "Forecasting Value-At-Risk"
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Range-Based Approach To Volatility Modelling And Forecasting Value-At-Risk
(University of Nairobi, 2020)The purpose of this thesis is to model and forecast value-at-risk based on range-measuring rather than the commonly acknowledged volatility models that are based on closing prices. The use of close-to-close prices in ...