Results 31 to 40 of about 50,421 (106)
Data, 2023 In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South African Rand ...
Thabani Ndlovu, Delson Chikobvu
doaj +1 more source
Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2016 The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is ...
Hossein Raghfar, Narges Ajorlo
doaj +1 more source
FORECASTING EXTREME MARKET MOVEMENTS USING REALIZED GARCH AND EXTREME VALUE THEORY MODELS
Reliability: Theory & ApplicationsThis study investigates the essential benefits of using the Conditional Value-at-Risk (CVaR) optimization framework with the GARCH model and Extreme Value Theory (EVT) methods for the S&P CNX NIFTY markets. Using daily data from Jan.
Umme Hani
doaj +1 more source
Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
doaj +1 more source
Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2018 In this paper, an optimal investment portfolio including securities of four sectors: financial, chemical, pharmaceutical and automotive is estimated. Various types of Copula models are used to study the structure of asset co-dependency.
Reza Taleblou, mohammad mahdi davoudi
doaj +1 more source
, 2018 Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
PENGUKURAN VALUE AT RISK (VaR) PADA PORTOFOLIO MENGGUNAKAN METODE GARCH-EVT-COPULA [PDF]
, 2018 AbstrakSalah satu metode analisis risiko yang populer adalah Value at Risk (VaR). Beberapa metode yang digunakan untuk menentukan VaR mengasumsikan bahwa return berdistribusi normal dan mengukur dependensi diantara saham-saham portofolio menggunakan ...
Retno Subekti, Puspa Renggani ,
core +1 more source
Value-at-risk Quantile Forecast using GARCH-EVT and HAR-EVT Model
, 2022 Background - Extreme value theory (EVT) is one possible approach to identify and manage the extreme risks by using the estimation of high quartile and tail probabilities.
Aridi, Nor Azliana +2 more
core +1 more source
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
Mathematics, 2020 This paper analyzes the volatility dynamics in the financial markets of the (three) most powerful countries from a military perspective, namely, the U.S., Russia, and China, during the period 2015–2018 that corresponds to their intervention in the Syrian
Viviane Naimy +3 more
doaj +1 more source