The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability
A risk measure commonly used in financial risk management, namely, Value-at-Risk (VaR), is studied. In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to the nominal. To do so, we pay attention to the effect of estimator vari...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2020-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/7638517 |