Study of Risk Value Based on GARCH model
|
| Title | Study of Risk Value Based on GARCH model |
| Authors | |
| Abstract | the paper introduces VaR calculation method by GARCH model, concluding the biggest expected losses in the stock market portfolio during a holding period which is significant for manage asset risk. In addition, this paper analyzes the advantages and disadvantages of the VaR method, indicating the direction for further research. |
| Publisher | World Science Publisher |
| Date | 2012-01-02 |
| Source | 2166-2924 |
| Rights | Copyright NoticeProposed Creative Commons Copyright Notices1. Proposed Policy for Journals That Offer Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work´s authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal´s published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).Proposed Policy for Journals That Offer Delayed Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication, with the work [SPECIFY PERIOD OF TIME] after publication simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work´s authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal´s published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access). |