Beronilla, Nikkin L.; Mapa, Dennis S. - In: Philippine Review of Economics 45 (2008) 2, pp. 87-99
This paper introduces new methods of estimating Value-at-Risk (VaR) using range-based GARCH (general autoregressive conditional heteroskedasticity) models. These models, which could be based on either the Parkinson range or the Garman-Klass range, are applied to ten stock market indices of...