Due to the high risk associated with international transactions, exchange rate forecasting is a challenging and important field in modern time series analysis. The difficulty in forecasting arises from the nonlinearity and non-stationarity inherent in exchange rate dynamics. To address these problems, this study proposes a hybrid model that couples two effective feature extraction techniques, p...

A parametric approach to estimating and forecasting Value-at-Risk (VaR) and expected shortfall (ES) for a heteroscedastic financial return series is proposed. The well-known GJR–GARCH form models the volatility process, capturing the leverage effect. To capture potential skewness and heavy tails, the model assumes an asymmetric Laplace form as the conditional distribution of the series. Further...

This paper attempts to compare the forecasting performance of the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the U.S. Dollar (IRR/USD) for the period of 20 March 2014 to 20 June 2015. The period of 20 March 2014 to 19 April 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

The adverse economic and social effects of the recent increases in food prices have prompted policymakers academics to reconsider potential causes such increases. This paper contributes existing literature by investigating causal oil prices, fertiliser global activity, geopolitical risk on international price volatility between January 1993 December 2021. research considers aggregate inde...

This paper established the ARMA-GJR-AL model of dynamic risk VaR and CVaR measurement. Considering from aspects of the correlation and volatility and residual distribution characteristics, studying the dynamic risk measures of VaR and CVaR based on ARMA-GJR-AL model. Through empirical research, Risk prediction and accuracy of inspection are given of the Shanghai stock market and the New York st...

Purpose This paper tests the accuracies of models that predict Value-at-Risk (VaR) for Market Integrated Latin America (MILA) and Association Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods. Design/methodology/approach Many VaR estimation have been presented in literature. In this paper, is estimated using Generalized Autoregressive Conditional Heteroskedasticity, E...