Ardia, David; Hoogerheide, Lennart F. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
value-at-risk forecast performance is investigated for different markets and industries, considering the test for correct … conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95 …% and 99% value-at-risk it is crucial that the innovations’ distribution is fat-tailed (e.g., Student-t or – even better – a …