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Keywords:

threshold GARCH sign in to follow this
asymmetric GARCH sign in to follow this
Taiwan sign in to follow this
equities sign in to follow this
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VaR Methods sign in to follow this
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Threshold GARCH Model in Value-at-Risk of Financial Holdings in Taiwan
Year Of Publication: 1998
Month Of Publication: April
Pages: 15
Download Count: 3
View Count: 1204
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-2-2011
Publisher: Administrator
Summary
In this study, we employ an asymmetric GARCH model, namely
Threshold-GARCH, to represent the effect of news impact. And we allow two various
forms of mean equations, namely with/without conditional variance (or standard
deviation) in mean equations. While conditional variance (or standard deviation) is
not included in mean equations, we use three time-series models, AR(1), MA(1) and
ARMA(1,1), in mean equations. There is an insignificant evidence of news impact.
Author(s)
Chen, Peiwen Sign in to follow this author
Su, Yong-chern Sign in to follow this author
Hsu, Chunsin Sign in to follow this author
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