Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio
Sign Up to like & getrecommendations! Published in 2018 at "Soft Computing"
DOI: 10.1007/s00500-017-2979-7
Abstract: To provide accurate value-at-risk (VaR) forecasts for the returns of international stock indices portfolio, this paper proposes a dynamic spatial panel with generalized autoregressive conditional heteroscedastic model (DSP-GJR-GARCH). The proposed model considers the spatiotemporal dependence… read more here.
Keywords: gjr garch; model; dynamic spatial; garch ... See more keywords
Analytic moments for GJR-GARCH (1, 1) processes
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DOI: 10.1016/j.ijforecast.2020.03.005
Abstract: Abstract For a GJR-GARCH(1, 1) specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moments for the most commonly used… read more here.
Keywords: gjr garch; moments gjr; garch processes; analytic moments ... See more keywords