In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to...

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous...

The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data used for analysis comprised the daily closing...