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Empirical Analysis of GARCH model Performance in Value at Risk Estimation
Sabah Madani, David Bolin Drukier

Paper Summary

The study analyzed different GARCH models to predict the daily Value at Risk of a stock index. The researchers looked at five models (GARCH, IGARCH, EGARCH, APGARCH, and GJR-GARCH) to see which one performed best for the OMXS30 stock index in Sweden. The OMXS30 index includes the top 30 companies on the Stockholm Stock Exchange.

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