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Keywords: Medium-term forecast
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (1): 175–191.
Published: 04 May 2022
... by McNeil and Frey (2000) together with GARCH medium-term forecast (denoted in our study as GARCH + EVT – IV.). Gençay and Selçuk (2004) also offer a second possibility to model EVT, which is the direct modeling of the distribution of minimum or maximum realizations. The GARCH + EVT – IV. calculates...
