Giot, Pierre; Laurent, Sébastien - In: Journal of Applied Econometrics 18 (2003) 6, pp. 641-663
In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform...