Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach

Engineering Proceedings

article

Gueï Cyrille Okou¹  Amine Amar² 

[1] LSTE Environmental Sciences and Technologies Laboratory, Jean Lorougnon Guede University;School of Science and Engineering, Al Akhawyn University

关键词: contagion effects;    extreme value theory;    GARCH-EVT;    optimal tail selection;    value at risk;   

DOI  :  10.3390/engproc2023039070

来源: mdpi

【 摘 要 】

To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using the conditional Extreme Value Theory (GARCH-EVT), in order to assess extreme risks with contagion effect. The GARCH-EVT approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT). To implement our approach, we use macroeconomic time series from Morocco, Spain, France, and the USA.

【 授权许可】

Unknown