Masters in Statistics Oral Defense: "GARCH Models for Financial Institution Market Risk Management"
Qiandi Chen, Washington University in Saint Louis
Abstract: The stock market rose and fell suddenly and sharply in recent years, which indicates substantial volatility and uncertainty. Measuring the market risk accurately is of great importance. This paper uses the historical price of the S&P 500 Index from January 19th 2011 to January 31st 2017. We model the log yield as daily returns using GARCH family models.
Host: Todd Kuffner