–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de … modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats …

methods called conditional EVT that combined the GARCH, RV and HAR specification models with the EVT approach. To assess the … to the GARCH-EVT and RV-EVT typed models during both crisis and non-crisis periods. This research study contributes to …-stages hybrid methods called conditional EVT that combined the GARCH, RV and HAR specification models with the EVT approach during …