We introduce the class of FIR-GARCH models in this paper. FIR-GARCH models provide a parsimonious joint model for low-frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of...

The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...