Accuracy Improvments of Value-at-Risk Estimation by Using Different Probability Distributional Assumptions - Some Empirical Evidences from Weighted Stock Indexes
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 106 === This study proposes to use three common volatility estimation methods ( SMA, EWMA and GARCH ) ,in combination with different assumptions of probability distributions for financial asset return to estimate VaR (Value-at-Risk). We choose eight stock market index...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6ew6gf |