主题：Predicting Volatility with Applications to Value at Risk

时间：6月6日 周二 9:30--10:30

地点：浦东校区1号楼308室

主要内容：Fundamental to any investment strategy is measuring and forecasting risk. Value at risk (VaR) is one of the most commonly used methods of analyzing the risk of an investment. Value at risk makes predictions about the probabilities of extreme events. The volatility of investment returns varies over time and is the main determinant of changes in the risk of an investment. This lecture will introduce the GARCH model for forecasting variance and provide applications to predicting the risk (VAR) of an investment. These methods can be used to hedge risks.