Teorie extrémních hodnot: Empirická analýza chování chvostů GARCH modelů

Šiml, Jan

This thesis investigates the capability of GARCH-family models to capture the tail properties using Monte Carlo simulation in framework of Conditional Extreme Value Theory. Analysis is carried out for three different GARCH-type models: GARCH, EGARCH, GJR-GARCH using Normal and Student's t-distributed innovations on four well-known stock market indices: S&P 500, FTSE 100, DAX and Nikkei 225. After conducting 3000 simulations of every estimated model, the Hill estimate of shape parameter implied by the GARCH-type models will be calculated and the models' performance will be assessed based on histograms, descriptive statistics and Root Mean Squared Error of simulated Hill estimates. Interesting results and im- plications for further research have been identified. Firstly, we highlight the Normal distribution's inappropriate nature in this case and its inability to capture the tail properties. Furthermore, GJR-GARCHT with t-distributed innovations is identified to be the best model, closely followed by other t-distributed GARCH-type models. Finally, a pattern in all Q-Q plots forecasting the simulation study results is appar- ent, with the exception of the DAX. This anomalous behaviour therefore necessitated further analysis and a significant right tail influence was recorded. Even though Hill estimates...

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