Huang, Han-Ching; Su, Yong-Chern; Tsui, Jen-Tien - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 390-398
This paper uses four asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models, which are GJR-GARCH, NA-GARCH, Threshold GARCH (T-GARCH), and AV-GARCH to compare their performance on value-at-risk (VaR) forecasting to the symmetric GARCH model. In addition, we adopt...
