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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