Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Chunchou Wu
Year of publication: |
April 2018
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Authors: | Wu, Chunchou |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 8.2018, 6, p. 1179-1187
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Subject: | VaR | CARR | GARCH | Volatility Forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Theorie | Theory | Schätzung | Estimation |
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