Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International Review of Financial Analysis 30 (2013) C, pp. 36-45
specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have …-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive … moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets …