{"id":"https://openalex.org/W3093162202","doi":"https://doi.org/10.3390/sym12101698","title":"On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance","display_name":"On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance","publication_year":2020,"publication_date":"2020-10-15","ids":{"openalex":"https://openalex.org/W3093162202","doi":"https://doi.org/10.3390/sym12101698","mag":"3093162202"},"language":"en","primary_location":{"id":"doi:10.3390/sym12101698","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym12101698","pdf_url":"https://www.mdpi.com/2073-8994/12/10/1698/pdf?version=1602762364","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/2073-8994/12/10/1698/pdf?version=1602762364","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5054222435","display_name":"Ho\u00e0ng Vi\u1ec7t Long","orcid":null},"institutions":[{"id":"https://openalex.org/I141445968","display_name":"Ton Duc Thang University","ror":"https://ror.org/01drq0835","country_code":"VN","type":"education","lineage":["https://openalex.org/I141445968"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"H. Viet Long","raw_affiliation_strings":["Division of Computational Mathematics and Engineering, Institute for Computational Science, Ton Duc Thang University, Ho Chi Minh City 70000, Vietnam","Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City 70000, Vietnam"],"raw_orcid":"https://orcid.org/0000-0001-6657-0653","affiliations":[{"raw_affiliation_string":"Division of Computational Mathematics and Engineering, Institute for Computational Science, Ton Duc Thang University, Ho Chi Minh City 70000, Vietnam","institution_ids":["https://openalex.org/I141445968"]},{"raw_affiliation_string":"Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City 70000, Vietnam","institution_ids":["https://openalex.org/I141445968"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051367541","display_name":"Haifa Bin Jebreen","orcid":"https://orcid.org/0000-0001-9394-7305"},"institutions":[{"id":"https://openalex.org/I28022161","display_name":"King Saud University","ror":"https://ror.org/02f81g417","country_code":"SA","type":"education","lineage":["https://openalex.org/I28022161"]}],"countries":["SA"],"is_corresponding":true,"raw_author_name":"H. Bin Jebreen","raw_affiliation_strings":["Department of Mathematics, College of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia"],"raw_orcid":"https://orcid.org/0000-0001-9394-7305","affiliations":[{"raw_affiliation_string":"Department of Mathematics, College of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia","institution_ids":["https://openalex.org/I28022161"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102930156","display_name":"Ioannis Dassios","orcid":null},"institutions":[{"id":"https://openalex.org/I100930933","display_name":"University College Dublin","ror":"https://ror.org/05m7pjf47","country_code":"IE","type":"education","lineage":["https://openalex.org/I100930933"]}],"countries":["IE"],"is_corresponding":false,"raw_author_name":"I. Dassios","raw_affiliation_strings":["AMPSAS, University College Dublin, 4 Dublin, Ireland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"AMPSAS, University College Dublin, 4 Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5030756029","display_name":"Dumitru B\u01celeanu","orcid":"https://orcid.org/0000-0002-0286-7244"},"institutions":[{"id":"https://openalex.org/I106245021","display_name":"\u00c7ankaya University","ror":"https://ror.org/056wqre19","country_code":"TR","type":"education","lineage":["https://openalex.org/I106245021"]},{"id":"https://openalex.org/I4210142834","display_name":"Institute of Space Science - INFLPR Subsidiary","ror":"https://ror.org/054a6wv56","country_code":"RO","type":"facility","lineage":["https://openalex.org/I4210142834"]}],"countries":["RO","TR"],"is_corresponding":false,"raw_author_name":"D. Baleanu","raw_affiliation_strings":["Department of Mathematics, Cankaya University, 06530 Balgat, Ankara, Turkey","Institute of Space Sciences, 077125 Magurele-Bucharest, Romania"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Cankaya University, 06530 Balgat, Ankara, Turkey","institution_ids":["https://openalex.org/I106245021"]},{"raw_affiliation_string":"Institute of Space Sciences, 077125 Magurele-Bucharest, Romania","institution_ids":["https://openalex.org/I4210142834"]}]}],"institutions":[],"countries_distinct_count":5,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5051367541"],"corresponding_institution_ids":["https://openalex.org/I28022161"],"apc_list":{"value":2000,"currency":"CHF","value_usd":2165},"apc_paid":{"value":2000,"currency":"CHF","value_usd":2165},"fwci":1.9283,"has_fulltext":true,"cited_by_count":16,"citation_normalized_percentile":{"value":0.87839393,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"12","issue":"10","first_page":"1698","last_page":"1698"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9957000017166138,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9911999702453613,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.9556179046630859},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.787796676158905},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.6965305209159851},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6877821683883667},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.6742373704910278},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.5927614569664001},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.5096466541290283},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.4862300455570221},{"id":"https://openalex.org/keywords/distribution","display_name":"Distribution (mathematics)","score":0.46019721031188965},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4549848139286041},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.43402528762817383},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.39660415053367615},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3418278992176056},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.24840012192726135},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.11709466576576233}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9556179046630859},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.787796676158905},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6965305209159851},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6877821683883667},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6742373704910278},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5927614569664001},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.5096466541290283},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.4862300455570221},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.46019721031188965},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4549848139286041},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.43402528762817383},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.39660415053367615},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3418278992176056},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24840012192726135},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.11709466576576233},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3390/sym12101698","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym12101698","pdf_url":"https://www.mdpi.com/2073-8994/12/10/1698/pdf?version=1602762364","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:2bf49b57187043e789af28acf9c40b36","is_oa":true,"landing_page_url":"https://doaj.org/article/2bf49b57187043e789af28acf9c40b36","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Symmetry, Vol 12, Iss 10, p 1698 (2020)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/2073-8994/12/10/1698/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/sym12101698","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Symmetry","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.3390/sym12101698","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym12101698","pdf_url":"https://www.mdpi.com/2073-8994/12/10/1698/pdf?version=1602762364","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1216609841","display_name":null,"funder_award_id":"RSP-2020/210","funder_id":"https://openalex.org/F4320321145","funder_display_name":"King Saud University"}],"funders":[{"id":"https://openalex.org/F4320321145","display_name":"King Saud University","ror":"https://ror.org/02f81g417"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3093162202.pdf","grobid_xml":"https://content.openalex.org/works/W3093162202.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W49834940","https://openalex.org/W60820512","https://openalex.org/W1497131193","https://openalex.org/W1516217986","https://openalex.org/W1882703344","https://openalex.org/W1977970167","https://openalex.org/W1979575715","https://openalex.org/W1980314087","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2013206978","https://openalex.org/W2024214085","https://openalex.org/W2024365941","https://openalex.org/W2047087909","https://openalex.org/W2061160212","https://openalex.org/W2078136871","https://openalex.org/W2230579095","https://openalex.org/W2303051911","https://openalex.org/W2488157181","https://openalex.org/W2606878197","https://openalex.org/W2788958615","https://openalex.org/W2888903121","https://openalex.org/W2891235016","https://openalex.org/W2901383326","https://openalex.org/W2922633229","https://openalex.org/W2945501088","https://openalex.org/W2981583560","https://openalex.org/W2981878202","https://openalex.org/W2998989910","https://openalex.org/W3041251529","https://openalex.org/W6731495381","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W1106997938","https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W2783733712","https://openalex.org/W799577184","https://openalex.org/W2499931925","https://openalex.org/W2002736235","https://openalex.org/W2374661407","https://openalex.org/W2031780815","https://openalex.org/W2594064876"],"abstract_inverted_index":{"The":[0,69,108],"Conditional":[1],"Value-at-Risk":[2],"(CVaR)":[3],"is":[4],"a":[5],"coherent":[6],"measure":[7],"that":[8],"evaluates":[9],"the":[10,17,21,39,53,75,91,97,112],"risk":[11,56,67,83],"for":[12,52,82],"different":[13],"investing":[14],"scenarios.":[15],"On":[16],"other":[18],"hand,":[19],"since":[20],"extreme":[22],"value":[23],"distribution":[24,47],"has":[25],"been":[26],"revealed":[27],"to":[28,38,62],"furnish":[29],"better":[30,64],"financial":[31],"and":[32,60,105],"economical":[33],"data":[34],"adjustment":[35],"in":[36,48,66],"contrast":[37],"well-known":[40],"normal":[41],"distribution,":[42],"we":[43],"here":[44],"employ":[45],"this":[46,95],"investigating":[49],"explicit":[50],"formulas":[51,70],"two":[54],"common":[55],"measures,":[57],"i.e.,":[58],"VaR":[59],"CVaR,":[61],"have":[63],"tools":[65],"management.":[68],"are":[71,103],"then":[72],"employed":[73],"under":[74],"generalized":[76],"autoregressive":[77],"conditional":[78],"heteroskedasticity":[79],"(GARCH)":[80],"model":[81],"management":[84],"as":[85],"our":[86,115],"main":[87],"contribution.":[88],"To":[89],"confirm":[90],"theoretical":[92],"discussions":[93],"of":[94,100,114],"work,":[96],"daily":[98],"returns":[99],"several":[101],"stocks":[102],"considered":[104],"worked":[106],"out.":[107],"simulation":[109],"results":[110],"uphold":[111],"superiority":[113],"findings.":[116]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
