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- Title
On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance.
- Authors
Long, H. Viet; Jebreen, H. Bin; Dassios, I.; Baleanu, D.
- Abstract
The Conditional Value-at-Risk (CVaR) is a coherent measure that evaluates the risk for different investing scenarios. On the other hand, since the extreme value distribution has been revealed to furnish better financial and economical data adjustment in contrast to the well-known normal distribution, we here employ this distribution in investigating explicit formulas for the two common risk measures, i.e., VaR and CVaR, to have better tools in risk management. The formulas are then employed under the generalized autoregressive conditional heteroskedasticity (GARCH) model for risk management as our main contribution. To confirm the theoretical discussions of this work, the daily returns of several stocks are considered and worked out. The simulation results uphold the superiority of our findings.
- Subjects
GARCH model; STATISTICAL models; EXTREME value theory; GAUSSIAN distribution; RISK management in business
- Publication
Symmetry (20738994), 2020, Vol 12, Issue 10, p1698
- ISSN
2073-8994
- Publication type
Article
- DOI
10.3390/sym12101698