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The study examines applicability and performance of Value-at-Risk (VaR) models with respect to foreign exchange risk assessment within a managed float regime. Pakistani rupee offers an instructive case as it seems to manage its currency mainly against the US dollar, but to a lesser extent...
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Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …
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