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 …. This paper finds that range-based GARCH models are good alternatives in modeling volatility and in estimating VaR. …