, particularly during crises and heightened uncertainty phases. Phenomena like volatility clustering impinge on the accuracy of these … models. To mitigate such constraints, conditional volatility models are integrated to augment the robustness and adaptability … amidst the Thai stock market's volatility during the COVID-19 pandemic. The dataset encompasses daily price fluctuations in …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …