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Garch Models in Value-At-Risk Estimation for REIT Ya-Ping Yuan 1, Jiong Sun2 , Hong-Kun Zhang 3

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Figure

Fig.1:  Time plots of REIT stock from 2007-01-03 to 2016-11-18
Fig.4:   Sample autocorrelation coefficients and partial autocorrelation coefficients for REIT daily log returns and square returns Descriptive statistics and hypothesis test results for REIT returns are as follows
Table Ⅲ: Estimation Results of Different Volatility Models for REIT GARCH-GJR GARCH-GJR Egarch Egarch Garch GARCH Type
Table Ⅳ: Value-at-Risk in Different Models for REIT
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