Communications for Statistical Applications and Methods

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Fig. 6.

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Fig. 6. One-step-ahead 95% VaRs obtained from the GARCH (1, 1) model with parameter change (blue), the GARCH (1, 1) model without break (red), and PTT–GARCH (1, 1) model without break (green).
Communications for Statistical Applications and Methods 2021;28:511-20 https://doi.org/10.29220/CSAM.2021.28.5.511
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