Undergraduate Thesis published by the Seoul National University Department of Economics (2020). (Read here)

Keywords: VaR(Value at Risk), ARIMA-GARCH model, Risk management

Comparative analysis of international economies during two periods of elevated volatility: the Great Recession of 2008 and the Coronavirus Recession.

Intraday returns (January 2007 - April 2020)

• S&P500
• SSE Composite Index
• Chinese Yuan to USD exchange rate

Source: Yahoo Finance

• Volatility Forecasting:
  • Skewed Student’s t ARIMA-GARCH model
    • Augmented Dickey-Fuller Test for Stationarity
    • Jarque-Bera Test of Normality
    • Box-Ljung Test of Autocorrelation
    • Breusch-Pagan Test for Heteroskedasticity
  • Parametric Value-at-Risk (VaR)
• Risk Spillover: Granger Causality

While a considerable degree of risk spillover is observed between the US and Chinese economies throughout the date range, its predictive power is shown to markedly diminish during the two Recession periods.

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