The two basic questions that every investor tries to answer before investment are questions about predicting return and risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected increase of return to compensate the higher risk. The...

We study alternative specifications of conditional quantile models that are used to estimate Value at Risk (VaR). Our proposed specifications include the incorporation of a slow moving component in the quantile process, along with recent aggregate returns as regressors. We consider a range of...