This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … there was confirmed existence of volatility clusters when high volatility periods are followed by low volatility periods … expect in the worst case scenario. Our results confirm the existence of predictability, volatility clustering, and …

The purpose of this paper is to model and analyze the volatility of returns on investment units in voluntary pension … applies the Extreme Value Theory (EVT) using the Generalized Pareto Distribution (GPD) to model the extreme events in the … series, but the absence of significant volatility changes negated the application of GARCH models. Instead, EVT was …

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient … of the returns, but it tends also to increase volatility significantly. …

volatility clustering, skewness, and kurtosis. The results reveal that the CoVaR estimates vary based on portfolio strategy, with …

-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …