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Theses

Estimation de la volatilité des données financières à haute fréquence : une approche par le Modèle Score-GARCH

Abstract : The main objective of this thesis is to estimate the volatility of high-frequency financial data by the Score-GARCH model in the context of the recent financial crisis (2007-2008). The actual contribution of our thesis covers three major axes. First, we have highlighted the stylized facts observed empirically in high-frequency financial data, in the case of four CAC40 financial assets. This study allowed us to analyze the dynamics and asymmetry of the returns of high-frequency financial assets. Second, given the stylized facts in relation to the behavior of volatility, we have modeled the volatility of high-frequency financial assets by the Score-GARCH model, and compared it with the classic asymmetric GARCH models (reference models ). The third axis proposes intraday market risk measures (VaR) in the particular context of high frequency data regularly spaced over time (every five minutes).
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  • HAL Id : tel-01730504, version 1

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Hisseine Saad Mahamat. Estimation de la volatilité des données financières à haute fréquence : une approche par le Modèle Score-GARCH. Economies et finances. Université Montpellier, 2017. Français. ⟨NNT : 2017MONTD023⟩. ⟨tel-01730504⟩

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