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Information × Registration Number 2109U001164, Article popup.category Стаття Title popup.author popup.publication 01-01-2009 popup.source_user Сумський державний університет popup.source http://essuir.sumdu.edu.ua/handle/123456789/56873 popup.publisher Description This article explores the daily measure of the risk value (Value-at-Risk (VaR)) for the 0050 income-exchange Index Fund (Exchange Traded Funds (ETF)) Taiwan Stock Exchange from 2003 to 2007. Important source to improve the functioning between distributional assumptions and volatility specification determined by using symmetric (GARCH) and asymmetric (GJR-GARCH) models. Empirical results show that the distributive assumptions and specifications of asymmetric volatility reach their benefits at different levels of significance. In addition, different distributions of "heavy tails" are considered to different levels of significance. Finally, we reiterate the fact that the model is useful GJR-t/GARCH-HT for conservative / active risk managers in relation to market uncertainty in the unstable markets stock index instruments. popup.nrat_date 2025-05-12 Close