Forecasting value-at-risk during crises in select ASEAN stock market indices through GARCH-EVT models

Forecasting value-at-risk during crises in select ASEAN stock market indices through GARCH-EVT models

This study compared the EVT and GARCH-EVT models to determine the most reliable model with regard to forecasting VaR during a crisis, specifically the Global Financial Crisis and the COVID-19 Pandemic. Hence, the paper analyzed the selected ASEAN indices’ daily closing prices during the said crises...

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書目詳細資料
Main Authors:	Balmaceda, Janelle Fatima A., Miranda, Maxim Anthonnae M., Parba, Mary Haniel Joy M., Zapanta, Patricia Anne M.
格式:	text
語言:	English
出版:	Animo Repository 2022
主題:	Stock price indexes—Southeast Asia Stock exchanges—Southeast Asia Stock price forecasting—Southeast Asia Finance and Financial Management
在線閱讀:	https://animorepository.dlsu.edu.ph/etdb_finman/27 https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1036/viewcontent/Forecasting_value_at_risk_during_crises_in_select_ASEAN_stock_mar_Redacted2.pdf
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