GARCH process and Value at Risk :An empirical analysis for Bucharest Stock Exchange Index- BET Preloader

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Paper Purpose and Motivations. Financial market volatility is a central issue to the theory and practice of asset pricing, asset allocation, and risk management.you may need to analyze the risk of holding an asset or the value of an optionOne use of volatility predictions is an input to financial risk management. In this paper we employ a relevant loss function which is based on calculation of an institution\'s value at risk.We employ both the 1% and 5% levels of significanceStock volatility9441

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