Estimating Value-at-Risk of Natural Gas Price
碩士 === 國立交通大學 === 財務金融研究所 === 95 === This paper use historical simulation approach, GARCH model, EGARCH model, GJR-GARCH model and CARR model, under different error term distribution hypothesis to estimate the Value at Risk of NYMEX Natural Gas price. We use different number of days and significan...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56075529647655311447 |