Lima, Luiz Renato; Néri, Breno Pinheiro - Society for Computational Economics - SCE - 2006
We perform a Monte Carlo experimet to compare four different Value-at-Risk methodologies, RiskMetrics, Gaussian GARCH(1,1), Generalized Student-t APARCH(1,1), and ARCH(1) Quantile, under five different data generating processes. The ARCH(1) Quantile methodology does not assume any distribution...
