Nor Azliana Aridi; Hooi, Tan Siow; Cheong, Chin Wen - In: Cogent economics & finance 12 (2024) 1, pp. 1-19
methods called conditional EVT that combined the GARCH, RV and HAR specification models with the EVT approach. To assess the … accuracy of the VaR forecasts, out-of-sample VaR forecast was backtested by using unconditional coverage (UC) and conditional … generalized breach indicator (GBI) method. The findings of this research emphasized that high-frequency conditional EVT …
