Decision Sciences
4 years ago

New study reveals groundbreaking method to predict financial market uncertainty!

Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk
Arvid Nybrant, Henrik Rundberg

Paper Summary

Value at Risk is a popular way to measure market risk. Different methods exist to calculate it. This study looks at how well certain models can predict uncertainty in financial markets.

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