Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

This article critiques models of market risk (ARMA, GARCH, ARCH, EVT, VAR, Stochastic-Volatility, etc.). The existing metrics for quantifying risk such as standard deviation, VAR/GARCH/EVT/ARMA/SV, etc. are inaccurate and inadequate particularly in emerging markets; and do not account for many facets of risk and decision making; and do not incorporate the many psychological, legal, liquidity, knowledge, and price-dynamic factors inherent in markets and asset prices.Areas for further research include: (a) development of dynamic market-risk models that incorporate asset-market psychology, liquidity, market size, frequency of trading, knowledge differences among market participants, information (capabilities and processing, and trading rules in each market); and (b) further development of concepts in belief systems.