... different market indices show that by adjusting the volatility, the VaR computed using GA is more conservative as compared to those computed using Monte Carlo simulation. Research limitations/implications – The proposed methodology is designed for VaR computation only. This could be generalized...

... the seasonality Fourier approximation is applied to the squared volatility of daily temperatures. The analytical approximation formulas and Monte Carlo simulation produce very similar prices for heating/cooling degree days options in Beijing and Shanghai, a result that also verifies the convergence of the Monte...

...Jing Wu Purpose This paper is intended to test the robustness of the fitness of nested GARCH models. Design/methodology/approach Both Monte‐Carlo simulation data and real‐world data are used in the paper. Likelihood‐family tests are used to test in‐sample fitness, while mean‐squared prediction...