Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case
Value-at-Risk (VaR) estimation using the GARCH model is an important topic in financial data analysis. It allows for an increase in the accuracy of risk assessment by controlling time-varying volatility. In this paper, we enhance this feature by exploring the functional path of the financial data. M...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/12/1961 |
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