This paper investigates the estimation of a 10-day value-at-risk (VaR) based on a data set of 250 daily values. The commonly used square-rootof-time rule, which scales the one-day 99% VaR with a ...
In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
The asymptotic theory for the sample autocorrelations and extremes of a GARCH(1, 1) process is provided. Special attention is given to the case when the sum of the ARCH and GARCH parameters is close ...
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