Huang, Yu Chuan; Lin, Bor-Jing - In: Review of Quantitative Finance and Accounting 22 (2004) 2, pp. 79-95
This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance...
