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Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models

Current research work is based on daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks. The results show that, in both in- sample and out-of-sample value-at-risk estimations, the models based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distribution.