DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM

Authors

  • Ante Rozga Faculty of Economics, University of Split
  • Josip Arnerić Faculty of Economics, University of Split

Keywords:

Value-at-Risk, GARCH(p,q), T-Student

Abstract

In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’s t-distribution will be
presented in estimation alternative risk measures on simulated returns.
As the most used measure of market risk is standard deviation of returns, i.e. volatility. However, based on volatility alternative
risk measures can be estimated, for example Value-at-Risk (VaR). There are many methodologies for calculating VaR, but for
simplicity they can be classified into parametric and nonparametric models. In category of parametric models the GARCH(p,q)
model is used for modeling time-varying variance of returns.

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Published

2023-06-08

How to Cite

Rozga, A., & Arnerić, J. (2023). DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM. Investigación Operacional, 30(1). Retrieved from https://revistas.uh.cu/invoperacional/article/view/6253