analysis, we estimate the volatility of Natural Gas Futures, Brent Oil Futures and Heating Oil Futures through GARCH and APARCH … models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified … (Cornish-Fisher) VaR, for each variable. Results suggest that the APARCH model largely outperforms the GARCH model, and gat …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility … asymmetric. Volatility is modeled parametrically. The new model is applied to the daily returns of the S\&P 500, FTSE 100, and … EUROSTOXX 50 indices and is compared to GARCH, Stochastic Volatility, and other Bayesian semi-parametric models …