Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
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References listed on IDEAS
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More about this item
KeywordsVaR; risk analysis; conditional volatility; conditional coverage; garch; egarch; tarch; moving average process; autoregressive process;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-02 (All new papers)
- NEP-ETS-2011-08-02 (Econometric Time Series)
- NEP-FOR-2011-08-02 (Forecasting)
- NEP-ORE-2011-08-02 (Operations Research)
- NEP-RMG-2011-08-02 (Risk Management)
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