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Forecasting Conditional VaR of the Crude Oil Market Using GARCH-Type Models with Time-Varying High-Order Moments

Shuang Zhao1, Dong Yang2,3, Xiujiao Zhang2

  • 1School of Economics, Southwest Minzu University, Chengdu 610041, China.

Entropy (Basel, Switzerland)
|October 27, 2026
PubMed

Keywords:
GARCH-type modelsconditional VaRcrude oil marketskewed generalized t distributiontime-varying high-order moments

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