Stavroyiannis, Stavros; Makris, Ilias; Nikolaidis, Vasilis - In: Global Business and Economics Review 15 (2013) 1, pp. 14-27
We examine the value-at-risk where the volatility and returns are modelled via a typical GARCH(1,1) model and the innovations process is the Pearson type-IV distribution. As case studies, we examine the NASDAQ and FTSE100 indices from 12-Dec-1984 to 21-Dec-2000. The model is fitted to the data...
