on Giamouridis and Vrontos (2007), a broad set of multivariate GARCH models, as well as, the simpler exponentially … weighted moving average (EWMA) estimator of RiskMetrics (1996) are considered. It is found that, while multivariate GARCH … based on CVaR, CDaR and Omega, for both conservative and aggressive hedge fund investors. In order to estimate portfolio …

a heteroscedastic financial return series. A GJR-GARCH is used to model the volatility process, capturing the leverage … the four volatility specifications to forecast risk measures. The study finds that the GARCH-type volatility specification …. The proposed distribution is combined with the GJR-GARCH volatility model, to estimate and forecast the VaR and …

Making sense of data may benefit from high volume data acquisition and analysis using GARCH and VAR-MGARCH (Datta et al …, we propose to bolster the GARCH proof of concepts through pilot implementations of analytical engines in diverse …

Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of …Making sense of data may benefit from high volume data acquisition and analysis using GARCH and VAR-MGARCH (Datta et al … forecasting methods in context of supply chains and demonstrated financial profitability from use of the GARCH technique. It …