Bauwens, Luc (contributor); Storti, G. (contributor) - 2007
value at risk and expected shortfall. Finally we discuss the results
of an application to a series of daily returns on the S …&P500.
Keywords: GARCH, persistence, volatility components, value-at-risk, expected short-
fall.
JEL Classiflcation: C11, C …
in generating long term forecasts of volatility and associated risk measures such as value at
risk (VaR) (for an …