The Efficiency of GARCH Models in Realizing Value at Risk Estimates
Market risk is an important type of financial risk that is usually caused by price fluctuations in financial markets. One determinant of market risk comprises Value at Risk (VaR), which is defined as the maximum loss that can be achieved within a certain time horizon and at a given reliability level...
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| Format: | Article |
| Language: | English |
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University of Finance and Administration
2020-04-01
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| Series: | ACTA VŠFS |
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| Online Access: | https://www.vsfs.cz/periodika/acta-2020-1-03.pdf |