Using MGARCH to Estimate Value at Risk
In this paper we compared multivariate GARCH models to<br />estimate Value-at-Risk. We used a portfolio of weekly indexes<br />including TEDPIX, KLSE, XU100 during ten years. To estimate<br />Value-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tse<br />and Tsui, Dynam...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2013-10-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51078_275fcfcaeb6c8b29ffef78e103f90b1b.pdf |