The financial measurement of VaR under the GARCH model based on empirical distribution (Q3385131)
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scientific article; zbMATH DE number 7448198
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| English | The financial measurement of VaR under the GARCH model based on empirical distribution |
scientific article; zbMATH DE number 7448198 |
Statements
17 December 2021
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VaR
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standard GARCH model
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cumulative empirical distribution function
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tail distribution
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0.7869338393211365
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0.7613784670829773
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0.7515891790390015
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0.7513922452926636
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0.7494184374809265
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