Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models
The South African financial market is developing with periods of high and low volatility. Employing an adequate volatility model is essential to manage market risk. This research study was designed to investigate the effectiveness of the fractionally integrated asymmetric power autoregressive condit...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-11-01
|
| Series: | Data Science in Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2023022?viewType=HTML |