Varying the VAR for Unconditional and Conditional Environments

  title={Varying the VAR for Unconditional and Conditional Environments},
  author={John Cotter},
  journal={International Finance},
  • J. Cotter
  • Published 1 December 2007
  • Economics
  • International Finance
Abstract Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust explicitly allowing for fat-tailed densities. Conditional tail estimates accounting for volatility clustering are obtained by adjusting… 

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