In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation … traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day … day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer …

-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …

-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …

considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ?average? models and its exact … and asymptotic properties are established. The model averaging idea and the VaR diagnostic tests are illustrated by an …

management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests …

Value-at-Risk (VaR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets … portfolio (Bayer, Siemens and Volkswagen). Classical VaR estimation methodology such as exponential moving average (EMA) as well …-step ahead VaR and ESF for short and long positions than short memory models. This suggests that for proper risk valuation of …

Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy …