Would student's t-GARCH improve VaR estimates?

Would student's t-GARCH improve VaR estimates?

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Bibliographic Details
Main Author: Mohamed, Abdelazim
Other Authors: Kauppakorkeakoulu, School of Business and Economics, Taloustieteet, Business and Economics, University of Jyväskylä, Jyväskylän yliopisto
Format: Master's thesis
Language:eng
Published: 2005
Subjects:
VaR
EWMA
GARCH
student's t-distribution
backtesting
Kansantaloustiede
Economics
2041
Online Access: https://jyx.jyu.fi/handle/123456789/8675

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