Daily VaR forecasts with realized volatility and GARCH models
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In this paper we evaluate alternative volatility forecasting methods under Value at Risk (VaR) modelling. We calculate one-step-ahead forecasts of daily VaR for the WIG20 index quoted on the Warsaw Stock Exchange within the period from 2007 to 2011.
Nội dung trích xuất từ tài liệu:
Daily VaR forecasts with realized volatility and GARCH models
Nội dung trích xuất từ tài liệu:
Daily VaR forecasts with realized volatility and GARCH models
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Journa science International journal of financial research Value at Risk modelling Warsaw Stock Exchange Realized volatilityTài liệu liên quan:
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