Next:
Historical Simulation
Up:
Top
Previous:
Performance measures
Model specification
Presented below are the detailed specifications for the construction of the forecast probability density
p
t
(
k
)
and
p
t
(
P
)
as prescribed by the different models included in this paper.
Historical Simulation
Rectangular Moving Average
Univariate context:
Multivariate context:
J. P. Morgan RiskMetrics
Univariate context:
Multivariate context:
GARCH(1,1)
Univariate context:
Multivariate context
Tail emphasized GARCH(1,1)
