Estimation of Value at Risk - The application of GARJI model - the Case of Down Jones Industry Index and S&P 500 Index
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === In this thesis, we employ RiskMetrics, GARCH and GARJI model to estimate the VaR of DownJones Industry Index and S&P 500 Index. Due to the heavier tails, skewness and leptokurtosis of financial assets returns, the behavior of price movement is discontinuou...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55669470962688961883 |