A Component GARCH Model with Time Varying Weights

DOI10.2202/1558-3708.1512zbMath1193.91168OpenAlexW2142465264MaRDI QIDQ3574741

Giuseppe Storti, Luc Bauwens

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1512

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Related Items (6)

Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Robust M-estimation of multivariate GARCH models ⋮ Stable mixture GARCH models ⋮ Asymmetric multivariate normal mixture GARCH ⋮ Markov switching asymmetric GARCH model: stability and forecasting

Uses Software

• CAViaR

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