Estimating value at risk using Garch models: evidence from the Turkish banks

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This thesis investigates the behaviour and characteristics of Turkish stock markets with a special focus on listed bank equities. The analysis is based on the fitting of GARCH model to financial return series for four different time period. The estimation of the parameters in the model is examined with two distributional assumptions for the innovations; Gaussian distribution and Student-t distribution. Furthermore, today’s Value at Risk figures are obtained via GARCH specifications, and also one-step ahead VaR figures are forecasted. The results indicate that GARCH (1, 1) model is suitable for modelling bank and index return series, hence, the VaR captures well stocks’ price movements.

Cicek Yilmaz
Estimating value at risk using Garch models: evidence from the Turkish banks · 2008 · 131 sayfa.
Danışman: Doç. Dr. Adnan Kasman

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