Range-based models in estimating value-at-risk (VaR)

Range-based models in estimating value-at-risk (VaR)

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This paper introduces new methods of estimating Value-at-Risk (VaR) using range-based GARCH (general autoregressive conditional heteroskedasticity) models. This paper finds that range-based GARCH models are good alternatives in modeling volatility and in estimating VaR.

Detaylı Bibliyografya
Yayımlandı:The Philippine Review of Economics Vol. 45, no. 2 (December 2008), p. 87-99.
Asıl Yazarlar: Beronilla, Nikkin L. (Yazar), Mapa, Dennis S. (Yazar)
Materyal Türü: Analytics
Dil:English
Baskı/Yayın Bilgisi: [Quezon City] School of Economics, University of the Philippines 2008.
Konular:
Business > Mathematical models.
Business mathematics.
Financial risk management.
Online Erişim:https://forms.gle/KZjBv7aRtY6jiL5E9