Applied Mathematics and Computation, volume 182, issue 2, pages 1735-1748
Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
1
P.O. Box 170002, Brooklyn, NY 11217, USA
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Publication type: Journal Article
Publication date: 2006-11-16
Journal:
Applied Mathematics and Computation
Q1
Q1
SJR: 1.026
CiteScore: 7.9
Impact factor: 3.5
ISSN: 00963003, 18735649
Computational Mathematics
Applied Mathematics
Abstract
This article critiques models of market risk (ARMA, GARCH, ARCH, EVT, VAR, Stochastic-Volatility, etc.). The existing metrics for quantifying risk such as standard deviation, VAR/GARCH/EVT/ARMA/SV, etc. are inaccurate and inadequate particularly in emerging markets; and do not account for many facets of risk and decision making; and do not incorporate the many psychological, legal, liquidity, knowledge, and price-dynamic factors inherent in markets and asset prices. Areas for further research include: (a) development of dynamic market-risk models that incorporate asset-market psychology, liquidity, market size, frequency of trading, knowledge differences among market participants, information (capabilities and processing, and trading rules in each market); and (b) further development of concepts in belief systems.
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Nwogugu M. I. C. Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches // Applied Mathematics and Computation. 2006. Vol. 182. No. 2. pp. 1735-1748.
GOST all authors (up to 50)
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Nwogugu M. I. C. Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches // Applied Mathematics and Computation. 2006. Vol. 182. No. 2. pp. 1735-1748.
Cite this
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TY - JOUR
DO - 10.1016/j.amc.2006.01.080
UR - https://doi.org/10.1016/j.amc.2006.01.080
TI - Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
T2 - Applied Mathematics and Computation
AU - Nwogugu, Michael I. C.
PY - 2006
DA - 2006/11/16
PB - Elsevier
SP - 1735-1748
IS - 2
VL - 182
SN - 0096-3003
SN - 1873-5649
ER -
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BibTex (up to 50 authors)
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@article{2006_Nwogugu,
author = {Michael I. C. Nwogugu},
title = {Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches},
journal = {Applied Mathematics and Computation},
year = {2006},
volume = {182},
publisher = {Elsevier},
month = {nov},
url = {https://doi.org/10.1016/j.amc.2006.01.080},
number = {2},
pages = {1735--1748},
doi = {10.1016/j.amc.2006.01.080}
}
Cite this
MLA
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Nwogugu, Michael I. C.. “Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches.” Applied Mathematics and Computation, vol. 182, no. 2, Nov. 2006, pp. 1735-1748. https://doi.org/10.1016/j.amc.2006.01.080.