出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the skewed Student-t models outperformed the normal models in measuring the fat tails and asymmetry of the densities.
关键词：asymmetry; forecasting accuracy; long memory; skewed student-t distribution.
