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Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic Extreme Value Theory Copula Model

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Figure

Figure 1. Daily currency prices and daily returns (period from November 02, 2004 to February 26, 2018)
Table 1. Summary descriptive statistics of currency exchange returns.
Table 2. Parameter Estimates of the ARMA (1, 1)-GJR-GARCH (1, 1) Model with Stu-dent’s t innovations
Table 3. Parameter estimates for ARMA-GJR-GARCH-EVT model.
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