In this paper, we consider identification and estimation of average marginal effects in a correlated random … model and consider estimation of the marginal effects of interest. We illustrate the use of the approach through a brief …

. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH … Simulation, and classical Filtered Historical Simulation methods. We show empirically that robust estimation reduces tail … estimation risk, providing more accurate and more stable VaR prediction intervals over time …