Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations

Yu Chuan Huang () and Bor-Jing Lin

Review of Quantitative Finance and Accounting, 2004, vol. 22, issue 2, 79-95

Abstract: This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance is assessed using a range of measures that address the accuracy and efficiency of each model.

Date: 2004
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