The study derives a theoretically and empirically founded procedure for volatility estimation and forecasting of daily financial return series for use in value-at-risk model frameworks.GARCH modelling is applied to account for time varying heteroskedastic conditional variances and...

The study derives a theoretically and empirically founded procedure for volatility estimation and forecasting of daily financial return series for use in value-at-risk model frameworks. GARCH modelling is applied to account for time varying heteroskedastic conditional variances and covariances....