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 …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a …