Ergün, A. Tolga; Jun, Jongbyung - In: The Quarterly Review of Economics and Finance 50 (2010) 3, pp. 264-272
We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive...
