This article proposes an alternative approach of Value-at-Risk (VaR) estimation. Financial assets are known to have irregular return patterns; not only the volatility but also the distribution functions themselves may vary with time. Therefore, traditional time-series models of VaR estimation...

The volatility of financial asset returns is a key variable in risk management and derivative pricing. The behaviours of emerging equity markets are now significant to global economies. This research examines the performance of five popular categories of volatility forecasting models on 31...