BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory in the volatility of the Turkish Stock...