Browsing by Subject "Value at Risk (VaR)"
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Empirical density estimation and back-testing of Value at Risk (VaR) from parametric volatility models
(Strathmore University, 2017)This paper forecasts one-day-ahead foreign exchange volatility using parametric models and compares their empirical forecasting performance of Value at Risk of five spot exchange rates; namely, the Kenyan Shilling versus ...