Asymmetric GARCH Value-at-Risk of SPY
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === VaR is more applicable as a financial management tool to control risk. Since the GARCH model is proved to be the useful and more accurate model in estimating VaR, in this paper, we employ the asymmetric GARCH models including the innovation-rotated GJR GARCH and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25114530168945227088 |