Volatility of mutual fund return, GARCH modeling and value at risk

• 主要作者: Hsuan, Chiang Chung
• 格式: text
• 語言: English
• 出版: Animo Repository 2009
• 主題: Mutual funds; Finance and Financial Management
• 在線閱讀: https://animorepository.dlsu.edu.ph/etd_masteral/3721; https://animorepository.dlsu.edu.ph/context/etd_masteral/article/10559/viewcontent/CDTG004515_F_Partial.pdf

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...