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Value-at-Risk Prediction in R with the GAS Package

David Ardia, Kris Boudt and Leopoldo Catania ()

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Abstract: GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GAS models for Value-at-Risk (VaR) prediction using the novel GAS package for R. Details and code snippets for prediction, comparison and backtesting with GAS models are presented. An empirical application considering Dow Jones Index constituents investigates the VaR forecasting performance of GAS models.

Date: 2016-11
New Economics Papers: this item is included in nep-for and nep-rmg
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Handle: RePEc:arx:papers:1611.06010