MODELING AND EVALUATION OF RISK MEASURES FOR THE RESIDUALS OF FINANCIAL TIME SERIES WITH UNOBSERVED VALUES USING R


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TABLE OF CONTENTS

Title Page
Certification
Approval Page
Dedication
Acknowledgement
Abstract
Table of Contents
List of Tables
List of Figures

CHAPTER ONE: INTRODUCTION
1.0 Preamble
1.1. Historical Background of First Bank of Nigeria Ltd.
1.2 Stock Exchange Market
1.2.1. Stock Market Operation
1.2.2. Sock Behaviour or Movement.
1.3. Market Risk Management
1.4. Objectives of Study

CHAPTER TWO: LITERATURE REVIEW        
2.0 Review of Related Literature

CHAPTER THREE: METHODOLOGY
3.1. Source of Data
3.2 Unobserved values
3.3. Transformation of Financial Time Series
3.4. Stationarity
3.5. Models
3.5.1. The ARCH(p) Model
3.5.2. GARCH(p, q) Model
3.5.3. Extention to GARCH(p,q)
3.5.4. Test for ARCH Effect
3.5.5. The GARCH(p,q) Order
3.5.6. Generalised Extreme Value Distribution (GEVD).
3.5.7. Generalised Pareto Distribution (GPD)
3.6. Model Specification
3.7. Estimation of the Model Parameters
3.8. Model Diagnostic
3.9. Forecasting
3.10. Risk Measures
3.10.1. Value at Risk (VaR)
3.10.2. Expected Short Fall (ES)
3.11. R Statistical Software

CHAPTER FOUR: MODELING
4.1. Time Series Plot of Series after Imputing Unobserved Values and Deleting Unobserved Values
4.2. Test for ARCH effect
4.3 The Transformation of the Time Series
4.4. Order of ARMA(u,v)+GARCH(p,q) Model
4.5. Model Selection and Estimation of Model Parameters
4.6. Forecasting
4.7. Residuals of ARMA (2,1)+(2,1)t of FBN3(m7)
4.8. Symmetric Test
4.9.Generalised Pareto Distribution (GPD).
4.10. Model Diagnosing of GPD
4.11. VaR and ES

CHAPTER FIVE: SUMMARY OF FINDINGS, CONCLUSION AND RECOMMENDATIONS
5.1. Summary of Findings
5.2. Conclusion
5.3. Recommendations
References
Appendices





CHAPTER ONE


INTRODUCTION


1.0. Preamble


Investment in financial market got to the peak between 2005 and 2007. In 2008, the market witnessed a down turn or setback thereby putting more risk to investment in the capital market. In order to guide against the unexpected, this research work will use an appropriate model to compute risk measures, especially the risk measures associated with investment on stock so as to overcome the uncertainty. The series of stock price is of the financial time series and according to Tsay (2005) both financial theory and its empirical time series contain an element of uncertainty. The choice of the model is of paramount important due to the volatile nature of the financial time series. The current financial crisis that hit most countries is as a result of substantial increase in volatility of stock market.

The financial market is faced with so many factors both within and without that may bring about bull or dull prices hence making the price volatile on daily bases. The financial crisis in Nigeria was caused by some factors as opined by Sere-Ejembi (2008). These factors are the global financial crisis, the subsequent plumbing of the other major indicators to date, the divestment by foreign investors and the panic disposal by local investors.

The time series data of First Bank Nigeria, Plc stock price will be used to bring out a model that will be suitable to such data, that is, financial data. Therefore, the daily returns from the daily price will be computed. The reasons for using the returns of an asset is given by Campbell, Lo, and MacKinlay (1997) as a complete and scale-free summary of the.....



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