Syam, Ummul Auliyah; Siswanto, Siswanto; Sunusi, Nurtiti - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 23-38
In this study, we use daily gold log-returns to analyse the quality of forecasting expected shortfalls (ES) using volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed on the entire distribution of returns, as well as for...