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Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment

Theo Berger and Ramazan Gencay

Journal of Economic Dynamics and Control, 2018, vol. 92, issue C, 30-46

Abstract: In this paper, we present a novel perspective on data filtering and present an innovative wavelet-based approach that leads to improved Value-at-Risk (VaR) forecasts. A separation of financial conditional volatility into short-, mid- and long-run components allows us to study the relevance of these frequency components with respect to a regulatory quality assessment for daily VaR forecasts.

Keywords: Value-at-Risk; Forecasting; Wavelet decomposition; Regulatory back-testing (search for similar items in EconPapers)
JEL-codes: C53 C58 G17 G28 G32 (search for similar items in EconPapers)
Date: 2018
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Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

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