Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …

underestimate the tail risk. By contrast, the GARCH models with Student's t conditional distributions capture the tail shape more …

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled …

This study proposes a new approach for estimating value at risk (VaR). This approach combines quasi …-maximum-likelihood fitting of asymmetric conditional autoregressive range (ACARR) models to estimate the current volatility and classical extreme … value theory (EVT) to estimate the tail of the innovation distribution of the ACARR model. The proposed approach reflects …