Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models

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...

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Bibliographic Details
Main Authors: Moses Khumalo, Hopolang Mashele, Modisane Seitshiro
Format: Article
Language:English
Published: AIMS Press 2023-11-01
Series:Data Science in Finance and Economics
Subjects:
backtesting
fiagarch
figarch
hygarch
parametric distribution
value at risk
volatility
Online Access:https://www.aimspress.com/article/doi/10.3934/DSFE.2023022?viewType=HTML

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