Bhattacharyya, Malay; Madhav R, Siddarth - Volkswirtschaftliche Fakultät, … - 2012
The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...
