The estimating method of VaR based on PGARCH model with high-frequency data

FAN Pengying, LAN Yong, CHEN Min

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 2052-2059.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 2052-2059. DOI: 10.12011/1000-6788(2017)08-2052-08

The estimating method of VaR based on PGARCH model with high-frequency data

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2017, 37(8): 2052-2059 https://doi.org/10.12011/1000-6788(2017)08-2052-08

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