Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of Empirical Finance 29 (2014) C, pp. 421-434
We modify a two-step approach by McNeil and Frey (2000) for forecasting Value-at-Risk (VaR). Our approach combines the asymmetric GARCH (GJR) model that allows the high-order moments (i.e., skewness and kurtosis) of the skewed generalized t (SGT) distribution to rely on the past information set...