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Value at Risk models with long memory features and their economic performance [PDF]
, 2015 We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also
A Rubia +37 more
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
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Copernican Journal of Finance & Accounting, 2015 The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries.
Heitham Al-Hajieh +3 more
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Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
doaj
International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
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Price Risk Measurement of China’s Soybean Futures Market Based on the VAR‐GJR‐GARCH Model [PDF]
Complexity, 2021 As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market.
Chuan-hui Wang +4 more
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The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective [PDF]
, 2016 Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high ...
Bonaccolto, Giovanni +1 more
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GARCH models with leverage effect : differences and similarities [PDF]
, 2009 In this paper, we compare the statistical properties of some of the most popular GARCH models with leverage e?ect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions.
Rodríguez, Mª José, Ruiz, Esther
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ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2022 The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of ...
RACHANA BAID +4 more
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Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach [PDF]
, 2004 This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various linear and asymmetric GARCH models are employed.
Koubaa, Yosra, Égert, Balázs
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