Su, Y. C.; Huang, H. C.; Lin, Y. J. - In: Applied Financial Economics 21 (2011) 24, pp. 1819-1829
In this study, we introduce an asymmetric Generalized Autoregressive Conditional Heteroscedastic (GARCH) model, Glosten, Jagannathan and Runkle-GARCH (GJR-GARCH), in Value-at-Risk (VaR) to examine whether or not GJR-GARCH is a good method to evaluate the market risk of financial holdings....
