Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

One important characteristic of cryptocurrencies has been their high and erratic volatility. To represent this complicated behavior, recent studies have emphasized the use of autoregressive models frequently concluding that generalized autoregressive conditional heteroskedasticity (GARCH) models...