Add to ORKGThis article explores the daily measure of the risk value (Value-at-Risk (VaR)) for the 0050 income-exchange Index Fund (Exchange Traded Funds (ETF)) Taiwan Stock Exchange from 2003 to 2007. Important source to improve the functioning between distributional assumptions and volatility specification determined by using symmetric (GARCH) and asymmetric (GJR-GARCH) models. Empirical results show that the distributive assumptions and specifications of asymmetric volatility reach their benefits at different levels of significance. In addition, different distributions of "heavy tails" are considered to different levels of significance. Finally, we reiterate the fact that the model is useful GJR-t/GARCH-HT for conservative / active risk managers...
Managing risks has always been an integral part of financial institutions. The financial markets are...
In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher...
This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio v...
This paper examines conditional volatility through GARCH/EGARCH modeling using data on daily returns...
In the financial industry, it has been increasingly popular to measure risk. One of the most common ...
[[abstract]]This paper examines the forecasting performance of three value-at-risk (VaR) models (Ris...
This article develops a leverage trend Generalized Autoregressive Conditional Heteroscedasticity (GA...
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indi...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indi...
The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimatio...
AbstractOne of primary tools used to assess the financial risk is Value-at-Risk (VaR). It turns to b...
This paper extends research concerned with the evaluation of alternative volatility forecasting meth...
We investigate the daily volatility and Value-at-Risk (VaR) forecasts for the Karachi Stock Exchange...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Managing risks has always been an integral part of financial institutions. The financial markets are...
In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher...
This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio v...
This paper examines conditional volatility through GARCH/EGARCH modeling using data on daily returns...
In the financial industry, it has been increasingly popular to measure risk. One of the most common ...
[[abstract]]This paper examines the forecasting performance of three value-at-risk (VaR) models (Ris...
This article develops a leverage trend Generalized Autoregressive Conditional Heteroscedasticity (GA...
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indi...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indi...
The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimatio...
AbstractOne of primary tools used to assess the financial risk is Value-at-Risk (VaR). It turns to b...
This paper extends research concerned with the evaluation of alternative volatility forecasting meth...
We investigate the daily volatility and Value-at-Risk (VaR) forecasts for the Karachi Stock Exchange...
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, ac...
Managing risks has always been an integral part of financial institutions. The financial markets are...
In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher...
This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio v...
