generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled … oflow probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulationoverpredicts the VaR …. However, the estimates obtained from applying the semi-parametric method aremore accurate in the VaR prediction. In addition …