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Volatility & Risk Forecasting for PRY.MI, G.MI, and REC.MI. Implements GARCH & GJR-GARCH (Gaussian/t) models in R to estimate 5% VaR. Validated via Hit Tests and Diebold-Mariano (HAC) against RiskMetrics. Results highlight the superior performance of Student’s t-models in capturing tail risk, leverage effects, and distributional asymmetries.
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2
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