TY  - GEN
T1  - Range-based models in estimating value-at-risk (VaR)
JF  - The Philippine Review of Economics
A1  - Beronilla, Nikkin L.
A1  - Mapa, Dennis S.
LA  - English
PP  - Quezon City
PB  - School of Economics, University of the Philippines
YR  - 2008
UL  - https://tuklas.up.edu.ph/Record/UP-1685594773862369522
AB  - 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.
NO  - Title was 'Philippine Review of Business and Economics' until 1979. Title changed to 'Philippine Review of Economics and Business' from 1980-2000, and again changed to 'Philippine Review of Economics' since 2001.
CN  - ARTICLE-1893
KW  - Business : Mathematical models.
KW  - Business mathematics.
KW  - Financial risk management.
ER  -