An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test the r...
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| Format: | Article |
| Language: | English |
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Sciendo
2013-03-01
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| Series: | Business Systems Research |
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| Online Access: | https://doi.org/10.2478/bsrj-2013-0005 |