Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...

The choice of an appropriate distribution for return innovations is important in VaR applications owing to its ability to directly affect the estimation quality of the required quantiles. This study investigates the influence of fat-tailed innovation process on the performance of one-day-ahead...