Mehta, Anirudh; Kanishka, Kunal - Volkswirtschaftliche Fakultät, … - 2014
constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH … performs relatively best in term of MSPE, followed by GARCH, Risk metrics and historical volatility. In terms of VaR, we test …