AV-GARCHM Model in Value-at-Risk of Financial Holdings
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === In this paper, we employ the AV-GARCHM model with various mean equations to evaluate their performance as VaR forecast models. We form two simulated portfolios, and calculate their daily profit and loss based on marking to market rule. Forward testing of one-day...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01277006965002633962 |