Economics, Econometrics and Finance
4 years ago

New method improves financial risk forecasting accuracy without complexity.

Accurate Value-at-Risk Forecast With the (Good Old) Normal-Garch Model
Christoph Hartz, Stefan Mittnik, Marc S. Paolella

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A new method using resampling and bias-correction improves Value-at-Risk forecasting with the normal-GARCH model. It is fast, easy to use, and reliable, requiring only the choice of a window length. Results show strong support for this method across different financial assets and simulated data, with performance not affected by the choice of window length.