We provide evidence suggesting that the assumption on the probability distribution for return innovations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently proposed asymmetric probability distributions and the...

Economic and financial theories and practice essentially deal with uncertain future. Humans encounter uncertainty in different kinds of activity, from sensory-motor control to dynamics in financial markets, what has been subject of extensive studies. Representation of uncertainty with normal or...

This study investigates the role of probability distribution in forecasting volatility and Value-at-Risk (VaR). We use the Realized GARCH model and high-frequency data from the cryptocurrency market and show that the role of probability distribution varies across different situations. A skewed-t...