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

• المؤلف الرئيسي: Hsuan, Chiang Chung
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2009
• الموضوعات: Mutual funds; Finance and Financial Management
• الوصول للمادة أونلاين: 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...