New VaR predictor G-VaR outperforms benchmarks in financial risk management.
A new method called G-VaR was developed to predict financial risk better than existing methods. G-VaR considers that financial returns can have many different patterns of volatility, not just one. By choosing the worst-case scenario from these possibilities, G-VaR can accurately predict risk. Tests on stock market data showed that G-VaR outperformed other common risk prediction methods.