Download or read book The Use of GARCH Models in VAR Estimation written by Timotheos Angelidis and published by . This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the performance of an extensive family of ARCH models in modeling daily Value-at-Risk (VaR) of perfectly diversified portfolios in five stock indices, using a number of distributional assumptions and sample sizes. We find, first, that leptokurtic distributions are able to produce better one-step-ahead VaR forecasts; second, the choice of sample size is important for the accuracy of the forecast, whereas the specification of the conditional mean is indifferent. Finally, the ARCH structure producing the most accurate forecasts is different for every portfolio and specific to each equity index.