Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

DOI10.1515/SNDE-2012-0033MaRDI QIDQ5881685zbMATHOpenAlexFDO

Authors Young Shin Kim, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0033

zbMATH Keywords

tempered stable distributionARMA-GARCH modelhigh-frequencyaverage value-at-risk (AVaR)

Mathematics Subject Classification ID

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

Recommendations

• Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH
• Forecasting intraday volatility and value-at-risk with high-frequency data
• Returns of Eastern European financial markets: ARMA, GARCH modeling \(\alpha\)-stable distribu\-tions
• The use of GARCH models in VaR estimation
• Use of tempered stable distributions in GARCH(1,1) models

Cites work

• scientific article; zbMATH DE number 5901077 (Why is no real title available?)
• scientific article; zbMATH DE number 5566166 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

Cited in

(3)

• Returns of Eastern European financial markets: ARMA, GARCH modeling \(\alpha\)-stable distribu\-tions
• Forecasting market risk using ultra-high-frequency data and scaling laws
• Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH

This page was built for publication: Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5881685)