Abstract
This paper compares different models for volatility forecasts with respect to the value at risk performance (VaR). The VaR measures the potential loss of a portfolio for the next period at a given significance level. We focus on the question if the choice of the appropriate volatility forecasting model is important for the VaR estimation. We compare the forecasting performance of several volatility models for the returns of the MSCI North America index. The resulting VaR estimators are evaluated by comparing the empirical failure rate with the forecasting performance.
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© 2005 Springer-Verlag Berlin · Heidelberg
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Pojarliev, M., Polasek, W. (2005). Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index. In: Baier, D., Wernecke, KD. (eds) Innovations in Classification, Data Science, and Information Systems. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-26981-9_55
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DOI: https://doi.org/10.1007/3-540-26981-9_55
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-23221-6
Online ISBN: 978-3-540-26981-6
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