The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distribution Models and the Specification of the Mean Equation

The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distribution Models and the Specification of the Mean Equation

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems is di...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 46-2022)
1. Verfasser: Gohs, Andreas Marcus
Format: Artikel
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2022
Schlagworte:
Default Correlation
Wirtschaft
Conditional volatility
Multivariate GARCH, Mean Excess Loss
Markov Switching MS-GARCH
Software R
Skew Student T
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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