Apply GARCH-Copula Model in the Evaluation of VaR for ASEAN-5 Portfolios
碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === The study applies GARCH-Copula Model to evaluate Value at Risk for portfolios of ASEAN-5. Then use penetration ratio and Likelihood Ratio Test which Kupiec （1995） proposed to evaluate the accuracy of VaR model.Hoping to find a suitable estimate of Value at Risk...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/3nwx44 |