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The Use of GARCH Models in VaR Estimation

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Table 2: Descriptive statistics of the daily log returns, for the period of July 9th, 1987 to October18th, 2002
Table 3: Parameter estimates of the AR(1) GARCH(1,1) model for five indices, using the entire
Table 4: Best performed models and the relative probability values of coverage metrics for normallydistributed innovations.
Table 5: Best performed models and the relative probability values of coverage metrics for t-distributed innovations.
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