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

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

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.

Detalles Bibliográficos
Publicado en:The Philippine Review of Economics Vol. 45, no. 2 (December 2008), p. 87-99.
Main Authors: Beronilla, Nikkin L. (Author), Mapa, Dennis S. (Author)
Formato: Analytics
Idioma:English
Publicado: [Quezon City] School of Economics, University of the Philippines 2008.
Subjects:
Business > Mathematical models.
Business mathematics.
Financial risk management.
Acceso en liña:https://forms.gle/KZjBv7aRtY6jiL5E9