Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …