Handika, Rangga; Chalid, Dony Abdul - In: Review of Accounting and Finance 17 (2018) 4, pp. 482-497
Purpose: This paper aims to investigate whether the best statistical model also corresponds to the best empirical performance in the volatility modeling of financialized commodity markets. Design/methodology/approach: The authors use various p and q values in Value-at-Risk (VaR) GARCH(p, q)...