, estimación mediante medias móviles con ponderación exponencial (EWMA) y la estimación mediante modelos de la familia GARCH …

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The … index are analyzed. The empirical results demonstrate that the use of asymmetry in the GARCH models and the assumption of …

each other, and we finally obtain a consistent estimator of the conditional VaR. For a wide class of GARCH models, we …$ depends neither on the GARCH parameter nor on the risk level, but only on the distribution of the innovations. A simple …

In this paper we compare the performance of different GARCH models such as GARCH, EGARCH,GJR and APARCH models, to … asymmetric GARCH models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The … index are analyzed. The empirical results demonstrate that the use of asymmetry in the GARCH models and the assumption of …

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for … densities and their parametric competitors within different generalized GARCH models such as APARCH and GJR-GARCH. …

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for … densities and their parametric competitors within different generalized GARCH models such as APARCH and GJR-GARCH. …

the asymptotic properties of the two approaches. Their performances are compared for finite-order GARCH models and for the … infinite ARCH. For the standard GARCH(p, q) and the Asymmetric Power GARCH(p,q), it is shown that the ARE of the estimators …