We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the...

This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model...