Research Article
The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability
Table 1
The VaR forecast (and improvement) for Generalized ARCH and SVAR models and some extensions of volatility models.
| Volatility models | | |
| GARCH-n (1, 1) | 0.0210 (0.0274) | 0.0148 (0.0218) | GARCH-t (1, 1) | 0.0236 (0.0289) | 0.0167 (0.0229) | SVAR-n (1) | 0.0240 (0.0330) | 0.0200 (0.0258) | SVAR-t (1) | 0.0245 (0.0311) | 0.0216 (0.0277) | GJR-GARCH-n (1, 1) | 0.0228 (0.0341) | 0.0162 (0.0268) | GJR-GARCH-t (1, 1) | 0.0249 (0.0367) | 0.0176 (0.0278) | TGARCH-n (1, 1) | 0.0228 (0.0266) | 0.0195 (0.0217) | TGARCH-t (1, 1) | 0.0243 (0.0299) | 0.0162 (0.0265) |
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