Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
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Journal of the American Society for Horticultural Science, 2022 Gardenia jasminoides, belonging to the Rubiaceae family, is widely distributed and planted in China. It has traditionally been used as an ornamental and medicinal plant in several Asian countries.
Shoufu Gong +2 more
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Comparing various GARCH-type models in the estimation and forecasts of volatility of S&P 500 returns during Global Finance Crisis of 2008 and COVID-19 financial crisis [PDF]
SHS Web of Conferences, 2023 In this study, we utilize various GARCH-type models to estimate and forecast volatility on S&P 500 returns and compare the results between the two financial crises, the GFC of 2008 (Global Financial Crisis of 2008) and the COVID-19 financial crisis ...
Chen Xuanyu
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PEMODELAN BEBAN PUNCAK ENERGI LISTRIK MENGGUNAKAN MODEL GJR-GARCH [PDF]
Jurnal MSA ( Matematika dan Statistika serta Aplikasinya ), 2018 Energi listrik adalah salah satu kebutuhan pokok yang memiliki peranan yang sangat penting dalam kehidupan. Kebutuhan akan energi listrik tidak bisa terlepas dari kehidupan baik itu untuk kebutuhan rumah tangga, industri, maupun pemerintahan.setiap harinya konsumsi listrik pada waktu tertentu akan mengalami puncak pemakaian, sehingga dipandang perlu ...
Ermawati, Ermawati +2 more
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Entropy, 2021 This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect ...
Jung-Bin Su
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PERHITUNGAN VALUE AT RISK KUNJUNGAN WISATAWAN ASING KE BALI
E-Jurnal Matematika, 2020 The development of the tourism industry in Bali is very fast compared to other regions in Indonesia. This is due to the fascination of Bali which fascinates tourists, such as culture, customs and natural beauty.
AGUS PUTU SURYAWAN +2 more
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Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2021 Objective: Portfolio risk measurement has always been one crucial aspect of finance. Several approaches have been modeled through time and some traditional approaches are criticized by researchers.
Adel Behzadi
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ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA
E-Jurnal Matematika, 2019 Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA +2 more
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Variance Targeting Estimator for GJR-GARCH under Model’s Misspecification
Sains Malaysiana, 2018 The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification.
Muhammad Asmu’i Abdul Rahim +2 more
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Optimizing the Model Investment Portfolios Based on Coherent Risk Measures under Conditions of Asymmetric Financial Market Volatility [PDF]
Problemi EkonomikiThis article is dedicated to the optimization of model investment portfolios by integrating asymmetric volatility forecasting using GJR-GARCH models, considering the minimization of Conditional Value at Risk (CVaR).
Manoilenko Oleksandr V. +2 more
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