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Optimization of Financial Asset Portfolio Using GARCH-EVT-Copula-CVaR Model

Journal of Mathematical Finance
Immaculate Ngina Kyalo, Cyprian O. Omari, Anthony Ngunyi   +2 more
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Portfolio Optimization Based on Artificial Neural Network and GARCH-EVT-Copula Models

International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2023
Forecasting volatility is an essential task in the financial market, especially in portfolio optimization. To improve the prediction accuracy of the volatilities of assets we use a hybrid ANN-EGARCH model then combining with extreme value theory and Copula models to perform out-of-sample forecasting returns for six indices in Asia stock markets then ...
Bao Quoc Ta, Nguyen H. Q. Khai
openaire   +1 more source

Quantile forecasts using the Realized GARCH-EVT approach

Studies in Economics and Finance, 2018
PurposeThis study aims to implement a novel approach of using the Realized generalized autoregressive conditional heteroskedasticity (GARCH) model within the conditional extreme value theory (EVT) framework to generate quantile forecasts. The Realized GARCH-EVT models are estimated with different realized volatility measures. The forecasting ability of
Samit Paul, Prateek Sharma
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Measuring quantile risk hedging effectiveness: a GO-GARCH-EVT-copula approach

Applied Economics, 2020
In this study, we propose a new GO-GARCH-EVT-copula combined approach to estimate minimum quantile risk hedge ratios.
Madhusudan Karmakar, Udayan Sharma
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Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling

Journal of Commodity Markets, 2022
Abstract Gold is usually regarded as having the potential to hedge or to act as a safe haven in the financial market. Does this follow onto the oil market and if so at what frequencies and to what extent? To answer this we integrate a two-stage framework to investigate the nonlinear oil-gold relationship using the GARCH-EVT-VaR model and the ...
Xinya Wang, Brian Lucey, Shupei Huang
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Islamic portfolio optimization using Vine Copula-GARCH-EVT-CVAR model

2020
This thesis studies the problem of Islamic portfolio optimization using the Conditional Value at Risk (CVaR) approach, a univariate GARCH type model, the Extreme Value Theory (EVT) and the Vine Copula. At first, we model the tails of the innovations of each Islamic sector index by applying the Generalized Pareto Distribution (GPD).
Hergli, Sana, Ben-Salem Bedoui, Rihab
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Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

International Journal of Entrepreneurship and Small Business, 2020
This paper investigates the conditional value-at-risk (CVaR) hedge funds portfolio optimisation approach using a univariate GARCH type model, extreme value theory (EVT) and the vine copula to determine the optimal allocation for hedge funds portfolio. First, we apply the generalised pareto distribution (GPD) to model the tails of the innovation of each
Rihab Bedoui, Sameh Noiali, Haykel Hamdi
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Hedge funds portfolio optimization using vine copula-Garch-Evt-CoVar model

2020
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Morjane, Ons, Bedoui Ben-Salem, Rihab
openaire   +1 more source