期刊名称：Journal of Statistical and Econometric Methods
印刷版ISSN：2241-0384
电子版ISSN：2241-0376
出版年度：2020
卷号：9
期号：2
页码：19-43
语种：English
出版社：Scienpress Ltd
摘要：This study evaluates the presence andcharacteristics of the asymmetric effects and volatility clustering in Rwandacurrency market. Under GARCH types model, Value at Risk models are estimated byassuming that the residuals follow normal, student t and skewed student tdistributions. Backtesting results for symmetric and asymmetric models havebeen done based on Kupiec and Christoffersen test. The results from Backtestingshow that most accurate VaR estimate are obtained from asymmetry GARCH modelsand provide evidence on the existence of the asymmetric effect in the Rwandacurrency market and the other currencies.
关键词：currency market; GARCH; asymmetric effects; Value at Risk and Backtesting.
