explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … series analysis conducted and led to the forecasting of the returns. It was noted that these methods could not be used in … relation of assets with each other. Furthermore, we also examined the environment as a whole, then applied forecasting models …