Volatility of mutual fund return, GARCH modeling and value at risk
This paper examines conditional volatility through GARCH/EGARCH modeling using data on daily returns of nine mutual funds in Asia-Pacific emerging markets, and then compares the forecast performance of downside risk on four types of VaRs including conventional VaR, CF VaR, GARCH-type VaR. Empirical...
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2009
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/3721 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/10559/viewcontent/CDTG004515_F_Partial.pdf |
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| Institution: | De La Salle University |
| Language: | English |
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