Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

Shaghayegh Mahboubi Zadeh; Hassan Ghalibaf Asl

Volume 5, Issue 1 , January 2021, , Pages 61-90

https://doi.org/10.30699/ijf.2021.123045

Abstract
  Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models ...  Read More