We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...

This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive...

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...