An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange


Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test the relative performance of selected GARCH-type models in terms… (More)


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