Liu, Hung-Chun; Hung, Jui-Cheng - In: Managerial Finance 36 (2010) October, pp. 860-875
Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...