The risk-return relationship in South Africa: tail optimization of the GARCH-M approach

The risk-return relationship in South Africa: tail optimization of the GARCH-M approach

The risk-return relationship is of fundamental significance in the field of economics and finance. It is used to structure investment strategies, allocate resources, as well as assist in the construction of policy and regulatory frameworks. The accurate forecast of the risk-return relationship ensur...

Full description

Bibliographic Details
Main Author: Nitesha Dwarika
Format: Article
Language:English
Published: AIMS Press 2022-11-01
Series:Data Science in Finance and Economics
Subjects:
risk-return relationship
garch-m type models
innovation distributions
asymmetry
pearson type ⅳ distribution
extreme value theory
generalized extreme value distribution
generalized pareto distribution
stable distribution
Online Access:https://www.aimspress.com/article/doi/10.3934/DSFE.2022020?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/DSFE.2022020?viewType=HTML

Similar Items