This paper aims at providing an in-depth analysis of forecasting ability different GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models and finding the best model for VaR estimation crude oil. Analysis performance is done using Kupiecs POF test, Christoffersens test Backtesting Loss Function. Crude oil one most important fuel sources has contributed to over a third world’s e...

• In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are given by a functional central limit theorem for the integrated periodogram of the data. A simulation study investigates the small sample behavior, the size and the power of our test. We apply our r...

Abstract Generalized autoregressive conditionally heteroskedastic (GARCH) processes are widely used for modelling financial returns, with their extremal properties being of interest market risk management. For GARCH( $$p,q$$ p , q ) $$\max (p,q) = 1$$ <...

This paper uses the Singapore and the Thailand’s stock prices of material from January 4, 2000 to July 20, 2007, discussing the model construction and their associations of between Singapore and Thailand’s stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Singapore and the Thailand’s stock markets may c...

The following tables and figures report all results from the three simulation experiments in the main paper. In all cases the instruments are zt = [yt−1, yt−2] ′. Tables T.1-T.3 concern trimmed EL for each transform, based on weight Wt = 1/ ∏2 i=1(1 + y 2 t−i) 1/2. Tables T.4-T.6 concern trimmed CUE for each transform based on weightWt = 1/(1 + y2 t−1). In those cases the model estimated is AR(...

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. ...

This paper analyses moment and near-epoch dependence properties for the general class of models in which the conditional variance is a linear function of squared lags of the process. It is shown how the properties of these processes depend independently on the sum and rate of convergence of the lag coefficients, the former controlling the existence of moments, and the latter the memory of the v...

This paper discusses the model construction and the association between the Singapore’s and the Hong Kong’s stock markets. Simultaneously, this paper uses the high and the low oil price periods’ volatility as a threshold for the Singapore’s and the Hong Kong’s stock market returns. The study data period is from January, 2000 to September, 2004 and June, 2005 to October, 2008. This paper also ut...

This paper develops an asymptotic theory for estimated change-points in linear and nonlinear time series models. Based on a measurable objective function, it is shown that the estimated change-point converges weakly to the location of the maxima of a double-sided random walk and other estimated parameters are asymptotically normal. When the magnitude d of changed parameters is small, it is show...