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 …

In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk … primary focus on Bitcoin and Ethereum, our research seeks to accentuate the resilience of VaR methodology as a paramount risk … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …

financial returns data and is used for the univariate fits, but its convolutions, necessary for portfolio risk calculations, are … computationally cheap and extremely accurate - most notably in the tail, which is crucial for risk calculations. A simulation study …

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