Gong, Yun; Li, Zhouping; Peng, Liang - In: Journal of Time Series Analysis 31 (2010) 2, pp. 65-75
Value-at-Risk (VaR) is a simple, but useful measure in risk management. When some volatility model is employed, conditional VaR is of importance. As autoregressive conditional heteroscedastic (ARCH) and generalized ARCH (GARCH) models are widely used in modelling volatilities, in this article,...