Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations

This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance is assessed using a range of measures that address the accuracy and efficiency of each model.

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Year of publication:	2004
Authors:	Huang, Yu Chuan ; Lin, Bor-Jing
Published in:	Review of Quantitative Finance and Accounting. - Springer. - Vol. 22.2004, 2, p. 79-95
Publisher:	Springer

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005808799