This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … is compared to the traditional risk measure, the Bullet Historical VaR to LIQUIDATION – i.e. VaR Historical …

vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …