Risk management is an important process for making investment decisions, which includes analyzing the risk in an investment and deciding whether or not to accept that risk in light of the expected returns for the investment. There are various parametric, non-parametric and semi-parametric methods for measuring and analyzing risk in financial markets, but the two main and widely used methods are value at risk and expected shortfall. In this article, a method for estimating the expected shortfall is presented, in which different value-at-risk estimation methods and ARMA − GARCH time series models are used to predict future fluctuations. Finally, this method is tested on real data and its superiority over the parametric method is shown by the feedback test.
Alizadeh, F., Gholamreza, M. B. & Amini, M. (2025). An Approach to Estimation of Expected Shortfall based on value at risk and time series ARMA − GARCH model. Andishe_ye Amari, 29(2), 110-126. https://doi.org/10.22034/aa.2026.2059415.1000
MLA
Alizadeh, F., Gholamreza, M. B., & Amini, M. "An Approach to Estimation of Expected Shortfall based on value at risk and time series ARMA − GARCH model", Andishe_ye Amari, 29, 2, 2025, 110-126. doi: 10.22034/aa.2026.2059415.1000
HARVARD
Alizadeh F., Gholamreza M. B., Amini M. (2025). 'An Approach to Estimation of Expected Shortfall based on value at risk and time series ARMA − GARCH model', Andishe_ye Amari, 29(2), pp. 110-126. doi: 10.22034/aa.2026.2059415.1000
CHICAGO
F. Alizadeh, M. B. Gholamreza & M. Amini, "An Approach to Estimation of Expected Shortfall based on value at risk and time series ARMA − GARCH model," Andishe_ye Amari, 29 2 (2025): 110-126, doi: 10.22034/aa.2026.2059415.1000
VANCOUVER
Alizadeh F., Gholamreza M. B., Amini M. An Approach to Estimation of Expected Shortfall based on value at risk and time series ARMA − GARCH model. Andishe_ye Amari. 2025;29(2):110-126 (In Persian). doi: 10.22034/aa.2026.2059415.1000