Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches
This research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH. These models are employed to assess and forecast capital requirements for life and non-life insurer investments. This study evalu...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Ital Publication
2024-12-01
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| Series: | Emerging Science Journal |
| Subjects: | |
| Online Access: | https://ijournalse.org/index.php/ESJ/article/view/2710 |
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