Obi, Pat; Sil, Shomir - In: Managerial Finance 39 (2013) 7, pp. 625-640
be correctly measured. The unparalleled approach in this paper of incorporating time‐varying volatility in VaR … that the calculated VaR reflects emerging risk characteristics, this paper introduces an approach that incorporates time‐varying … volatility. Design/methodology/approach – This study uses the GARCH technique to calculate the volatility metric with which VaR …