“... performance and divided into two groups to fit the models and get the VaR estimates under each confidence...”
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“...(1,1) is the best-fitting model and the most effective model in risk management of EUD/USD exchange...”
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“... that has the flexibility of fitting to the strike and term structure of observed implied volatilities...”
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“... model fits the NTD/USD continuous rate of return in the U.S. QE period data best. Symmetric GARCHM...”
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“... and Whaley (1998) which use a separate implied volatility for each option to fit to the smirk/smile...”
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“... GARCH (1,1) model to see whether it can fit our time series data. In our research, we found...”
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“... determine any clearly over-fitting situation. ...”
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