[R-SIG-Finance] Value-at-Risk

Robert Iquiapaza rbali at ufmg.br
Wed Jul 1 12:37:21 CEST 2009

See for example "Accurate value-at-risk forecasting based on the 
normal-GARCH model" by C Hartz, S Mittnik, M Paolella - Computational 
Statistics and Data Analysis, 2006


From: "Wei-han Liu" <weihanliu2002 at yahoo.com>
Sent: Tuesday, June 30, 2009 12:16 PM
To: <R-SIG-Finance at stat.math.ethz.ch>
Subject: [R-SIG-Finance] Value-at-Risk

> Dear R-users:
> Several questions please on Value-at-Risk.
> Is Value-at-Risk designed for forecasting purpose?
> I wonder if Value-at-Risk estimated by in-sample data can be used for 
> out-of-sample forecasting?
> If in-sample Value-at-Risk is estimated by several methods, is it 
> appropriate to do the model comparisons based on out--of-sample 
> performance?
> Wei-han Liu

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