The Application of GARCH-VaR models in Chinese Commercial Banks for the Foreign Exchange Rate Risks Management

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The Application of GARCH-VaR models in Chinese Commercial Banks for the Foreign Exchange Rate Risks Management

This study is an attempt to construct and compare a comprehensive list of univariate-GARCH models and multivariate-GARCH models, and then the accuracy of the VaR results is evaluated through Kupiec tests. Nearly five years of exchange rate data of RMB from November 2015 to June 2020 are used. In the...

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Bibliographic Details
Main Author:	CHANG, L.
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/62124/

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