Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs
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This study aims to widen the sphere of pratical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory. A sequential process of modeling of the VaR of a portfolio based on the ARMA-APARCH-EVT-HAC model was discussed. The empirical analysis conducted with data from international stock market indices clearly illustrates the performance and accuracy of modeling based on HACs.
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