Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - 2021
In this paper new semiparametric GARCH models with long memory are introduced. The estimation of the nonparametric …, 2013), the semi- parametric GARCH models are applied to obtain rolling one-step ahead forecasts for the Value at Risk (VaR … GARCH models are an attractive alternative to their conventional, parametric counterparts …