Applied Mathematics and Computation, volume 182, issue 2, pages 1735-1748

Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

Michael I. C. Nwogugu ¹

Hide authors affiliations

P.O. Box 170002, Brooklyn, NY 11217, USA |

Publication type: Journal Article

Publication date: 2006-11-16

Elsevier

Journal: Applied Mathematics and Computation

scimago Q1

SJR: 1.026

CiteScore: 7.9

Impact factor: 3.5

ISSN: 00963003, 18735649

DOI: 10.1016/j.amc.2006.01.080

Copy DOI

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.

Found

	2 4 6 8 10 12 14
Social Science Electronic Publishing	Social Science Electronic Publishing, 13, 32.5% Social Science Electronic Publishing 13 publications, 32.5%
Elsevier	Elsevier, 8, 20% Elsevier 8 publications, 20%
Taylor & Francis	Taylor & Francis, 3, 7.5% Taylor & Francis 3 publications, 7.5%
Emerald	Emerald, 1, 2.5% Emerald 1 publication, 2.5%
World Scientific	World Scientific, 1, 2.5% World Scientific 1 publication, 2.5%
IOP Publishing	IOP Publishing, 1, 2.5% IOP Publishing 1 publication, 2.5%
AIP Publishing	AIP Publishing, 1, 2.5% AIP Publishing 1 publication, 2.5%
Springer Nature	Springer Nature, 1, 2.5% Springer Nature 1 publication, 2.5%
Wiley	Wiley, 1, 2.5% Wiley 1 publication, 2.5%
LLC CPC Business Perspectives	LLC CPC Business Perspectives, 1, 2.5% LLC CPC Business Perspectives 1 publication, 2.5%
	2 4 6 8 10 12 14

Are you a researcher?

Create a profile to get free access to personal recommendations for colleagues and new articles.

Metrics

Cite this

GOST | RIS | BibTex | MLA

Found error?

Publisher

Elsevier

Journal

Applied Mathematics and Computation

scimago Q1

SJR

1.026

CiteScore

7.9

Impact factor

3.5

ISSN

00963003 (Print)

18735649 (Electronic)

Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

Top-30

Journals

Publishers

Are you a researcher?

	2 4 6 8 10 12 14
SSRN Electronic Journal	SSRN Electronic Journal, 14, 35% SSRN Electronic Journal 14 publications, 35%
International Review of Financial Analysis	International Review of Financial Analysis, 2, 5% International Review of Financial Analysis 2 publications, 5%
Journal of Risk Finance	Journal of Risk Finance, 1, 2.5% Journal of Risk Finance 1 publication, 2.5%
Discrete Mathematics, Algorithms and Applications	Discrete Mathematics, Algorithms and Applications, 1, 2.5% Discrete Mathematics, Algorithms and Applications 1 publication, 2.5%
IOP Conference Series: Earth and Environmental Science	IOP Conference Series: Earth and Environmental Science, 1, 2.5% IOP Conference Series: Earth and Environmental Science 1 publication, 2.5%
Expert Systems with Applications	Expert Systems with Applications, 1, 2.5% Expert Systems with Applications 1 publication, 2.5%
North American Journal of Economics and Finance	North American Journal of Economics and Finance, 1, 2.5% North American Journal of Economics and Finance 1 publication, 2.5%
Physica A: Statistical Mechanics and its Applications	Physica A: Statistical Mechanics and its Applications, 1, 2.5% Physica A: Statistical Mechanics and its Applications 1 publication, 2.5%
Applied Mathematics and Computation	Applied Mathematics and Computation, 1, 2.5% Applied Mathematics and Computation 1 publication, 2.5%
Agrekon	Agrekon, 1, 2.5% Agrekon 1 publication, 2.5%
Journal of Renewable and Sustainable Energy	Journal of Renewable and Sustainable Energy, 1, 2.5% Journal of Renewable and Sustainable Energy 1 publication, 2.5%
Lecture Notes in Computer Science	Lecture Notes in Computer Science, 1, 2.5% Lecture Notes in Computer Science 1 publication, 2.5%
Journal of Business Economics and Management	Journal of Business Economics and Management, 1, 2.5% Journal of Business Economics and Management 1 publication, 2.5%
Applied Economics	Applied Economics, 1, 2.5% Applied Economics 1 publication, 2.5%
Technological Forecasting and Social Change	Technological Forecasting and Social Change, 1, 2.5% Technological Forecasting and Social Change 1 publication, 2.5%
Investment Management and Financial Innovations	Investment Management and Financial Innovations, 1, 2.5% Investment Management and Financial Innovations 1 publication, 2.5%
	2 4 6 8 10 12 14