NA-GARCH Model in Value-at-Risk of Financial Holdings
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === In this paper, we employ EGARCH ,representing rotation asymmetry effect, and NA-GARCH, representing shift asymmetry effect, with variations in their mean equations : ARMA(1,1) ,AR(1), MA(1) ,and “ in –mean” models as VaR forecast models. Forward testing of one d...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47014622009377983916 |