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Comparison of Value at Risk (VaR) Multivariate Forecast Models

We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity) with normal and Student’s t distribution, GO-GARCH (Generalize...

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Detalles Bibliográficos
Autores principales:	Müller, Fernanda Maria, Righi, Marcelo Brutti
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2022
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9648899/ https://www.ncbi.nlm.nih.gov/pubmed/36406764 http://dx.doi.org/10.1007/s10614-022-10330-x

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