GARCH based VaR estimation: An empirical evidence from BRICS stock markets
This paper examines the adequacy of GARCH based VaR models in risk estimation for BRICS emerging stock markets. This study uses the daily data of stock indices in these markets for the period 25th September 1997 to 30th March 2018. Here we employ SGARCH, EGARCH and GJR-GARCH models to test volatilit...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2019-12-01
|
| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1430.pdf
|