together with the assumption of a normal distribution for expected returns results in VaR forecasts that are no worse than …, similar results obtain across the different forecast horizons and at both 2.5% and 5% VaR levels despite superior performance …

innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard … the IGARCH/EGARCH model at shorter/longer trading horizon. For VaR calculations, although these GARCH-type models are … likely to over-predict SPDRs' volatility, they are, nevertheless, capable of providing adequate VaR forecasts. Thus, a GARCH …

for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic … taking at the expense of providing accurate measures and forecasts of risk and VaR. …

for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic … taking at the expense of providing accurate measures and forecasts of risk and VaR …