Asymmetric GARCH Value at Risk of DIA
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === In this study we adopt two asymmetric GARCH models, with GJR-GARCH represent the rotation asymmetric effect; and NA-GARCH for the shift asymmetric effect, to compare their performance on VaR forecasting to the symmetric GARCH model. With variance of their mean e...
| 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/67545150900818327581 |