In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting … VaR forecasts. These findings confirm the importance of nonnormalities and asymmetries both in-sample and out …

feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t …-distribution with a time-varying variance. We find that in terms of in-sample fit, the VAR model that features both stochastic … volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are …