On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance

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...

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Bibliographic Details
Main Authors: H. Viet Long, H. Bin Jebreen, I. Dassios, D. Baleanu
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Symmetry
Subjects:
conditional value-at-risk
GARCH model
CVaR
extreme value distribution
risk allocation
Online Access:https://www.mdpi.com/2073-8994/12/10/1698

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