In measuring risk, practitioners have practiced one of the two extreme approaches for so long, i.e. historical simulation or risk metrics. Meanwhile, academicians tend to apply methods based on the latest development in financial econometrics. In this study, we try to assess one of important...

The development in forecasting techniques has been quite significant, which is indicated by the evolution on how researchers perceive characteristics of financial data. The researchers used to employ mean in their prediction model, but nowadays they tend to employ variance in developing the...