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The impact of distribution on value-at-risk measures

✍ Scribed by Olson, David L.; Wu, Desheng

Book ID
125422874
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
502 KB
Volume
58
Category
Article
ISSN
0895-7177

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## Recent research on volatility of asset returns demonstrates that model innovations frequently show unconditional heteroscedasticity. On the other hand, ARMA-GARCH models incorporate the heteroscedasticity only in the conditional distribution of the innovations, assuming the unconditional distr