Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1), MA(1), and “in-mean” to find out a more ap...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2015-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/1070 |