A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model … August 2005–30 September 2016. As a benchmark, we take an ARMA-GARCH and an ARMAX-GARCHX with the 2y-yield difference as the …

of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …

, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …

will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models …

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … concentration of investment funds (in Bulgaria) through the testing of complex, analytical and specialized models from the GARCH … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty …

-stationary properties of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models with the nonlinear modeling capabilities …

assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based … that non-normal distributions are best suited for both model fitting and forecasting. The MC-GARCH(1,1) model under the …’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC-GARCH …