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In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
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. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed …
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