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Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Valatility

• Jahandideh, M. T., Atayee, M.(2013)  Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Valatility, Presented in  9th International Industrial Engineering Conference, Khajeh Nasir University/Tehran/Iran.

 

In this talk we explain how GARCH modeling is a reliable tool for estimating Value at Risk and forecasting the volatility of hedge fund return.

Conference Papers
Month/Season: 
Summer
Year: 
2013