Mabrouk, Samir; Saadi, Samir - In: The Quarterly Review of Economics and Finance 52 (2012) 3, pp. 305-321
We evaluate the performance of several volatility models in estimating one-day-ahead Value-at-Risk (VaR) of seven stock market indices using a number of distributional assumptions. Because all returns series exhibit volatility clustering and long range memory, we examine GARCH-type models...