The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

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 …

with those from an alternative bivariate multifractal model proposed by Calvet et al. (2006) and the bivariate CC-GARCH of … Bollerslev (1990). As it turns out, the multifractal models provide much more reliable results than CC-GARCH, and our new model …

Correlation models, such as Constant Conditional Correlation (CCC) GARCH model or Dynamic Conditional Correlation (DCC …) GARCH model, play a crucial role in forecasting Value-at-Risk (VaR) or Expected Shortfall (ES). The additional inclusion of …Korrelationsmodelle, z.B. GARCH-Modell der konstanten bedingten Korrelation (CCC) oder das GARCH-Modell der dynamischen …

propose using Realized GARCH-type models with multiple measurement equations based on robust estimators to account for market … risk levels, the standard GARCH(1,1) also performs remarkably well. …

distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …