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

DOI10.1515/SNDE-2012-0033zbMATH Open1506.62397OpenAlexW209822608MaRDI QIDQ5881685FDOQ5881685

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

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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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence

Cited In (3)

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

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