A comparison of several time-series models for assessing the value at risk of shares

DOI10.1002/asmb.424zbMath0967.91063OpenAlexW2061150727MaRDI QIDQ2722300

Walter Zucchini, Kristin Neumann

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.424

zbMATH Keywords

time seriesstochastic volatilityGARCHvalue at riskhidden Markovbanking supervisionseries of returns

Mathematics Subject Classification ID

Related Items (1)

Detecting periods in which a time series model fails to predict the observed volatility

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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