Publication Date
2024
Document Type
Dissertation/Thesis
First Advisor
Hua, Lei
Degree Name
M.S. (Master of Science)
Legacy Department
Department of Statistics and Actuarial Science
Abstract
The Fama and French created factors of Market minus Risk Free (Mkt-RF), Small minusBig (SMB), High minus Low (HML), and the Carhart developed factor of Momentum (MOM) are frequently used together as a four factor model to explain the variation in returns of financial equities. This paper analyzes the joint distribution of these factors by forecasting the one month ahead joint distribution using various copula based methods. The VaR quantiles are calculated throughout the forecasted distribution at the .01, .05, .25, .50, .75, .95, and .99 quantiles. The forecasted distributions are compared against each other by analyzing the exceedances of their VaR forecasts. The method that most accurately forecasts the distribution will produce VaR forecasts that 1. pass the most statistical tests at the various quantiles and 2. have realized VaR exceedance levels that are closest to the levels expected.
Recommended Citation
Nebor, Michael, "Forecasting The One Month Ahead Joint Distribution of The Carhart Four Factor Model Using a Copula Method" (2024). Graduate Research Theses & Dissertations. 7912.
https://huskiecommons.lib.niu.edu/allgraduate-thesesdissertations/7912
Extent
33 pages
Language
en
Publisher
Northern Illinois University
Rights Statement
In Copyright
Rights Statement 2
NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.
Media Type
Text
