कवर छवि

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.

ग्रंथसूची विवरण
में प्रकाशित:The Philippine Review of Economics Vol. 45, no. 2 (December 2008), p. 87-99.
मुख्य लेखकों: Beronilla, Nikkin L. (लेखक), Mapa, Dennis S. (लेखक)
स्वरूप: Analytics
भाषा:अंग्रेज़ी
प्रकाशित: [Quezon City] School of Economics, University of the Philippines 2008.
विषय:
Business > Mathematical models.
Business mathematics.
Financial risk management.
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