During the recent years, the importance of effective risk management has become extremely
crucial. Value at Risk (VaR) is a standard downside measure to explain the behavior of …

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk)
forecasting performance of alternative parametric volatility models, like EGARCH …

This article investigates parameter estimation and model selection of GARCH models with
additive jumps. Continuous noise is driven by Student-t innovations. Since the likelihood is …

Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity
due to their ability to account for shifts volatility regimes that tend to characterize returns …

Bu çalışmada finansal varlık fiyatlarındaki yüksek oranlı ani değişimlerin (jump) stokastik
volatilite (SV) ile GARCH modellerine dahil edilmesinin bu modellerin performansları …

Abstract Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining
popularity due to their ability to account for shifts volatility regimes that tend to characterize …