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ejpam-4114	Moutari, Natatou Dodo; Hassane, Abba Mallam; Diakarya, Barro; Bisso, Saley	The ARMA-APARCH-EVT Models Based on HAC in Dependence Modeling and Risk Assessment of a Financial Portfolio	2021	23	.pdf	application/pdf	26723	492	54	−0.03 | Mean: −0.0134 G A R C H m od el : a pA R C H ● ● normal Density sstd (0,1) Fitted Density ● ● ● ● ● ● ● ● ● ●●●● ●● ● ● ● ● ● ●● ●●●● ● ●●● ● ● ● ●● ● ● ● ●● ● ●●●● ● ● ● ●●●●●●● ● ●● ● ● ● ● ● ● ● ●● ● ●● ● ●● ● ● ● ●● ●● ●● ● ● ●●●● ● ● ● ● ● ●● ● ● ● ● ● ● ● ●● ●● ●●●● ● ●● ● ●● ● ● ● ● ●●●●●●●● ● ●● ● ● ● ●● ●●●●●● ● ●● ●● ● ●● ●● ●●●●● ● ● ●●●● ● ●●● ● ● ●● ● ●●● ● ● ●● ● ● ● ● ● ●● ●● ● ●● ● ●●●● ● ●● ● ● ● ●●●● ● ● ● ● ● ●●● ● ● ● ● ● ● ●●● ●● ● ● ● ● ● ● ● ●● ●● ●●●● ● ●● ● ●●● ●●● ● ● ●●●● ●●●●●●●● ● ●● ● ● ● ● ● ● ●● ● ● ●●●●● ● ● ● ●● ●● ● ● ● ● ● ● ● ● ●●●● ● ● ● ● ● ● ● ●● ● ● ●● ● ● ●●● ● ● ●● ● ● ● ● ● ●●● ● ●● ● ● ●● ●● ●● ● ●●● ● ● ● ●● ● ● ● ● ●●●● ● ●●● ●● ● ● ● ●● ●● ● ● ● ●● ● ● ● ● ● ● ●●●● ●● ● ● ● ● ●● ● ● ●● ●● ● ●● ●●●● 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Quantiles S am pl e Q ua nt ile s G A R C H m od el : a pA R C H Figure 4: The top row shows empirical density graphs of standardized residuals and the quantile-quantile-sstd plot of the SP 500 series. Estimation of HAC model parameters We use the means of the pairwise versions of Kendall’s tau and the relationship θ ∼ τ to estimate the different parameters of the HAC.	cache/ejpam-4114.pdf	txt/ejpam-4114.txt