Khanniche, Sabrina - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the … empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March … 2008. I found that skewness and kurtosis are substantial in the hedge fund returns distribution and the clustering …