Geodesic
Value at risk forecasting of gold price: a comparison between the GARCH and LST-GARCH models
Teoriâ slučajnyh processov, Tome 23 (2018) no. 2, pp. 1-6

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Value at risk is one of the most important measure in finance. This paper evaluates the value at risk forecasting performance of the GARCH and logistic smooth transition GARCH (LST-GARCH) models for the gold markets. The LST-GARCH model is capable to react differently to positive and negative shocks in financial time series. The results show that the LST-GARCH structure provides the more adequate value at risk forecasts relative to the GARCH model.
Keywords: Forecasting, Smooth transition GARCH, Leverage effect, Value at Risk. 
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     author = {N. Alemohammad},
     title = {Value at risk forecasting of gold price: a comparison between the {GARCH} and {LST-GARCH} models},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {1--6},
     publisher = {mathdoc},
     volume = {23},
     number = {2},
     year = {2018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2018_23_2_a0/}
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N. Alemohammad. Value at risk forecasting of gold price: a comparison between the GARCH and LST-GARCH models. Teoriâ slučajnyh processov, Tome 23 (2018) no. 2, pp. 1-6. http://geodesic.mathdoc.fr/item/THSP_2018_23_2_a0/