Skip to main content

Table 18 VaR estimates for MS(3)-GARCH(1,1) model with heavy-tailed distributions

From: Estimating the risk of SARS-CoV-2 deaths using a Markov switching-volatility model combined with heavy-tailed distributions for South Africa

VaR Levels

Model

90%

95%

97.5%

99%

MS-GARCH-StD

1.1590

1.6936

2.3283

3.3976

MS-GARCH -SStD

1.2484

1.8413

2.5456

3.7292

MS-GARCH -NRIGD

1.3240

1.9420

2.5790

3.4418

MS-GARCH -PIVD

1.2500

1.8610

2.5967

3.8466

Back to article page

BMC Public Health

ISSN: 1471-2458

Contact us