Dependence between volatility persistence, kurtosis and degrees of freedom

zbMATH Open1212.91132MaRDI QIDQ3570258FDOQ3570258

Authors: Ante Rozga, Josip Arnerić 

Publication date: 25 June 2010

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zbMATH Keywords

value-at-riskGARCH\((p,q)\)\(t\)-Student

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (4)

• Evaluation of volatility predictions in a VaR framework
• Improved estimation of kurtosis parameters for two multivariate populations
• FIGARCH-type models and VaR based on skewed student \(t\)-distribution
• Volatility filtering in estimation of kurtosis (and variance)

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