... rate losses within one year. Design/methodology/approach The analysis focuses on five VaR methods, some of them traditional and some of them more up to date with integrated EVT or GARCH. The analysis of VaR methods was concentrated on a time horizon (1–12 months), overestimation predictions and six...

...Prateek Sharma; Vipul _ Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design...

... and findings of the study and reports the findings’ connection to a theoretical framework and previous studies. Finally, Section 5 concludes the paper. Financial crisis Volatility Common component GARCH G01, G15 Further, the increasing regionalization of economic activities...

...Joseph J. French; Vijay Kumar Vishwakarma Purpose The purpose of this paper is to dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines. Design/methodology/approach Using a parsimonious SVARX‐GARCH model and unique daily equity flow...