) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models …

scoring rules. The GARCH model generally outperforms GAS when the conditional distribution is the Normal or its skewed version …

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 …