Liu, Hung-Chun; Chiang, Shu-Mei; Cheng, Nick Ying-Pin - In: International Review of Economics & Finance 22 (2012) 1, pp. 78-91
We employ four various GARCH-type models, incorporating the skewed generalized t (SGT) errors into those returns innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard & Poor's Depositary Receipts (SPDRs) from 2002 to 2008....