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- W2954566824 abstract "Most wide used financial instrument to monitor risk is VaR (Value at Risk).VaR is a standard tool for measuring potential risk of economic losses in financial markets as a single number. There are several ways to calculate this single number, one among others ,according to parametric method, is with the help of ARCH and GARCH models.The ARCH and GARCH models became important tools in the analysis of time series data, particularly in financial applications .These models are espe- cially useful when the goal of the study is to analyze and forecast volatility.The long memory 1 nature of FIGARCH(Fractionally Integrated Generalized Autore- gressive Conditional Heteroscedastic ) model allows to be a better candidate than other heteroscedastic models for evaluating asummetry features and long memory in the volatility of Markets such as Athens Stock Market (ATHEX).This thesis will try to examine the concept long persistance in order to combine the VaR calculation of Athens Stock Exchange General index (ASE) for given time horizon and given confidence level using FIGARGH (1,d,1) model with Student-t, and skewed Student-t distribution for errors ." @default.
- W2954566824 created "2019-07-12" @default.
- W2954566824 creator A5086194376 @default.
- W2954566824 date "2017-09-01" @default.
- W2954566824 modified "2023-09-27" @default.
- W2954566824 title "Value-at-Risk in the presence of asymmetry : the FIGARGH model" @default.
- W2954566824 hasPublicationYear "2017" @default.
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