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Robust value-at-risk forecasting of Karachi Stock Exchange
Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146
Persistent link: https://www.econbiz.de/10011748632
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A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
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Efficient Bootstrap Forecast Intervals for Return and Volatility Using the Linear Estimator of Arch Models
Iqbal, Farhat - 2020
In this paper, we construct efficient forecast intervals for autoregressive conditional heteroscedastic (ARCH) models using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH model. An advantage of LE over the widely used quasi...
Persistent link: https://www.econbiz.de/10012856558