We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries ...
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
In the rapidly evolving world of cryptocurrency, volatility management remains a crucial challenge. Researchers have now developed a novel approach that integrates Exponential Generalized ...
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