Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - Volkswirtschaftliche Fakultät, … - 2011
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...