Thanks a lot, Robert.

I know GARCH models has its forecasting capacity as the reference you shared indicates.

I wonder if the Value-at-Risk estimated by extreme value theory can also be used for forecasting purpose. Is there some theory background in this regard?

Wei-han



----- Forwarded Message ----
From: Robert Iquiapaza <rbali@ufmg.br>
To: Wei-han Liu <weihanliu2002@yahoo.com>; "r-sig-finance@stat.math.ethz.ch" <R-SIG-Finance@stat.math.ethz.ch>
Sent: Wednesday, July 1, 2009 6:37:21 PM
Subject: Re: [R-SIG-Finance] Value-at-Risk

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

best

--------------------------------------------------

Sent: Tuesday, June 30, 2009 12:16 PM
To: <R-SIG-Finance@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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