Evaluation of VaR Estimates based on ARCH type Models
This paper studies four ARCH type models including ARCH, GARCH, EGARCH and TGARCH at Value at Risk (VaR) estimation. The four models were applied to daily Tehran stock market data to assess each model in estimating one day Value at Risk at various confidence intervals. Our findings suggest that for...
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Persa |
| Pubblicazione: |
Allameh Tabataba'i University Press
2011-06-01
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| Serie: | فصلنامه پژوهشهای اقتصادی ایران |
| Soggetti: | |
| Accesso online: | https://ijer.atu.ac.ir/article_3198_0a1dd76925ce7f0f9dd7dcfd81b48c92.pdf |
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