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http://dx.doi.org/10.7465/jkdi.2017.28.4.843

ETF risk management  

Lee, Woosik (Department of Information Statistics, Anyang University)
Publication Information
Journal of the Korean Data and Information Science Society / v.28, no.4, 2017 , pp. 843-851 More about this Journal
Abstract
The rise of the Robo-advisor represents one of the most profound shifts in FinTech. It also raises concerns about their financial management. As the most Robo-Advisors utilize ETFs, we seek to determine the appropriate risk management model in estimating 95% Value-at-Risk (VaR) and 99% VaR in this paper. The GARCH and the Markov regime wwitching GARCH are evaluated in terms of the accuracy of probability, the independence of extreme events occurrence and both. The result shows that the Markov regime switching GARCH can be a good ETF risk management tool since it can reflect financial market structural changes into the volatility.
Keywords
Exchange traded fund; FinTech; Market structural changes; Markov regime switching; Robo-Advisor;
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Times Cited By KSCI : 1  (Citation Analysis)
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