Bhattacharyya, Malay; Chaudhary, Abhishek; Yadav, Gaurav - In: European Journal of Operational Research 191 (2008) 2, pp. 386-397
This paper presents a new value at risk (VaR) estimation model for equity returns time series and tests it extensively on Stock Indices of 14 countries. Two most important stylized facts of such series are volatility clustering, and non-normality as a result of fat tails of the return...