2015
DOI: 10.1080/00036846.2015.1032209
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Early warning signals using AVaRs of infinitely divisible GARCH models — evidence from stock index markets

Abstract: Classical time series models have failed to properly assess the risks that are associated with large adverse stock price behaviour. This article contributes to autoregressive moving average model-GARCH (ARMA-GARCH) models with standard infinitely divisible innovations and assesses the performance of these models by comparing them with other time series models that have normal innovation. We discuss the limitations of value at risk (VaR) and aim to develop early warning signal models using average value at risk… Show more

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Cited by 2 publications
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“…Li et al (2015) show that such variables of index futures and options as the VIX, open interest, dollar volume, put option price, and put option effective spread can predict equity market crises. Chang et al (2015) define the average value at risk (AVaRs) based on the ARMA-GARCH model with standard infinitely divisible innovations as an early warning indicator and find that AVARs can predict both extreme events and highly volatile markets. By constructing two investment networks based on the cross-border equity and a long-term debt securities portfolio, Joseph et al (2014) identify two network-based indicators (algebraic connectivity and edge density) that could have predicted the 2008 global financial crisis.…”
Section: Early Warning Model Of Financial Crisismentioning
confidence: 99%
“…Li et al (2015) show that such variables of index futures and options as the VIX, open interest, dollar volume, put option price, and put option effective spread can predict equity market crises. Chang et al (2015) define the average value at risk (AVaRs) based on the ARMA-GARCH model with standard infinitely divisible innovations as an early warning indicator and find that AVARs can predict both extreme events and highly volatile markets. By constructing two investment networks based on the cross-border equity and a long-term debt securities portfolio, Joseph et al (2014) identify two network-based indicators (algebraic connectivity and edge density) that could have predicted the 2008 global financial crisis.…”
Section: Early Warning Model Of Financial Crisismentioning
confidence: 99%