This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, ...

This issue of The Journal of Risk covers topics including the estimation of value-at-risk using high-frequency data, as well as autoregressive techniques, the tail evaluation of extreme drawdowns, and ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...