Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and … extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into …. Volatility plays an important role in controlling and monitoring financial risks. Therefore, by means of a risk management …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …