VAR-GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market …

-varying volatility. Design/methodology/approach – This study uses the GARCH technique to calculate the volatility metric with which VaR … (GARCH) approach is more robust and more reliable than the traditional methods. Pursuant to the banking regulation on market …

-varying volatility. Design/methodology/approach – This study uses the GARCH technique to calculate the volatility metric with which VaR … (GARCH) approach is more robust and more reliable than the traditional methods. Pursuant to the banking regulation on market …

provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed … Greece (GRAGENL). Methods adopted to calculate VaR are: EWMA of Riskmetrics; classic GARCH(1,1) model of conditional variance … assuming a conditional normally distributed returns; and asymmetric GARCH with skewed Student-t distributed standardized …

Purpose – The objective of this study is to formulate a model for forecasting the performance of firms in terms of …

's Generalized Method of Moment (GMM) and multivariate GARCH in mean (MGARCH-M) to examine the exchange rate exposure and its pricing …

all models the ability to track volatility clustering. Findings – The RiskMetrics model outperforms the GARCH model for 95 … per cent VaR, whereas the GARCH model outperforms RiskMetrics for 99 per cent VaR. Both these models are better at …