Lechner, Lindsay A.; Ovaert, Timothy C. - In: The Journal of Risk Finance 11 (2010) 5, pp. 464-480
skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper is to provide an overview of VaR and describe … , autoregressive conditional heteroskedastic (ARCH) family of models, and extreme value theory (EVT) as a means of capturing the fat … index parameter of the tail. Other approaches, such as extreme value theory, focus on the extreme values to calculate the …