forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …

influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … alternatives for VaR forecasting, and they should be preferred when estimating tail risk. The flexibility of the free power … Set approach, as well as,iii) applying a dominance criterion among alternative VaR models that we introduce in this paper …