these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing … fat-tails) and leverage effects translates in more accurate VaR measure. …

forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping … prices and leverage effects for volatility. Findings suggest that GARJI model provides more accurate VaR measures for the S … accurate risk measures even if jump contribution is provided. More sophisticated models might address this issue, improving VaR …

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six … realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR …