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GARCH sign in to follow this
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Asymmetric GARCH Value at Risk of QQQQ
Year Of Publication: 2010
Month Of Publication: November
Pages: 27
Download Count: 3
View Count: 1511
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-2-2011
Publisher: Administrator
Summary
This paper employs GJR-GARCH, representing innovation-rotated asymmetry effect,
and NA-GARCH, representing innovation-shifted asymmetry effect, with variations
in their mean equations: ARMA(1,1), AR(1), MA(1), and “in-mean” models in
comparison with symmetric GARCH model to verify the best VaR forecast model for
QQQQ portfolio, a popular ETF tracking NASDAQ-100 Index.
Author(s)
Su, Yong-chern Sign in to follow this author
Chen, Peiwen Sign in to follow this author
Lin, Chihsien Sign in to follow this author
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