A Primer on the Orthogonal GARCH Model

نویسندگان

  • C O Alexander
  • Carol Alexander
چکیده

During the last few years there have been many changes in the way that financial institutions model risk. New risk capital regulations have motivated a need for vertically integrated risk systems based on a unified framework throughout the whole office. If the risk exposures in all locations of a large institution are to be netted, the risk system must also be horizontally integrated and regulators are pushing towards an environment where traders, quants and risk managers from all offices are referring to risk measures generated by the same models.

برای دسترسی به متن کامل این مقاله و 23 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Garch Models of Dynamic Volatility and Correlation

Economic and financial time series typically exhibit time varying conditional (given the past) standard deviations and correlations. The conditional standard deviation is also called the volatility. Higher volatilities increase the risk of assets, and higher conditional correlations cause an increased risk in portfolios. Therefore, models of time varying volatilities and correlations are essent...

متن کامل

Generating Economics Scenarios for the Long-Term Solvency Assessment of Life Insurance Companies: The Orthogonal ARMA-GARCH Method

Constructing the models that can generate possible economic scenarios of the returns on major asset classes is essential for solvency assessment. The key issues in establishing a comprehensive ESG models include: how to deal with the large number of risk factors, how to model the dynamics of some chosen factors, and how to incorporate the relations among risk factors. We propose the orthogonal ...

متن کامل

Efficient Factor GARCH Models and Factor-DCC Models

We reveal that in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on that, we propose three factor GARCH models in the framework of GO-GARCH: independent-factor GARCH exploits factors that are statistically as independent as possible; ...

متن کامل

Monitoring Financial Processes with ARMA-GARCH Model Based on Shewhart Control Chart (Case Study: Tehran Stock Exchange)

Financial surveillance is an interesting area after financial crisis in recent years. In this subject, important financial indices are monitored using control charts. Control chart is a powerful instrument for detecting assignable causes which is considerably developed in industrial and service environments. In this paper, a monitoring procedure based on Shewhart control chart is proposed to mo...

متن کامل

Quantification of Parkinson Tremor Intensity Based On EMG Signal Analysis Using Fast Orthogonal Search Algorithm

The tremor injury is one of the common symptoms of Parkinson's disease. The patients suffering from Parkinson's disease have difficulty in controlling their movements owing to tremor. The intensity of the disease can be determined through specifying the range of intensity values of involuntary tremor in Parkinson patients. The level of disease in patients is determined through an empirical rang...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دسترسی به متن کامل این مقاله و 23 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2000