Simulation based approach in evaluation of alternative VaR models in the presence of ARCH effects
In this paper, we examine the performance of 8 different models in VaR forecasting via simulation approach. Artificial returns are obtained from true data generating processes devoted to replicating realistically FTSE100 daily returns. Distributions of percentage errors of VaR estimates are consider...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25816/ |