search query: @freeterm GARCH models / total: 3
reference: 2 / 3
| Author: | Brooks, C. Clare, A. D. Persand, G. |
| Title: | A word of caution on calculating market-based minimum capital risk requirements |
| Journal: | Journal of Banking and Finance
2000 : OCT, VOL. 24:10, p. 1557-1574 |
| Index terms: | Risk management Financial risk Risk analysis Volatility Econometric models |
| Freeterms: | GARCH models |
| Language: | eng |
| Abstract: | The paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements may lead to the production of inaccurate and therefore inefficient capital requirements. It shows that this inaccuracy stems from that fact that GARCH models typically overstate the degree of persistence in return volatility. |
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