On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance
The Conditional Value-at-Risk (CVaR) is a coherent measure that evaluates the risk for different investing scenarios. On the other hand, since the extreme value distribution has been revealed to furnish better financial and economical data adjustment in contrast to the well-known normal distribution...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-10-01
|
| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/12/10/1698 |