The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR …. Results show individual models excel in forecasting VaR at a 0.975 confidence level, while combined methods outperform at 0 … methods such as mean or lowest VaR yield optimal results, highlighting their efficacy. This study contributes by offering a …

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and …