Forecasting Value-at-Risk: A Comparison of Alternative Models
碩士 === 國立暨南國際大學 === 經濟學系 === 96 === This research aims at the stock market of international as substantial evidence object and adopts the GARCH, RiskMetrics, Historical Simulation (HS), Hybrid, QML GARCH and the combination of QML GARCH and EVT (EVT for short). We use this six models to estimate the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ky4sqy |