next up previous
Next: Exceedence ratio against confidence Up: Top Previous: Tail emphasized GARCH(1,1)

Performance measures

 Whether for the univariate case or the multivariate case, each model specification ends with a clear recipe for constructing 1000 prediction-realization pairs, (pt(k,P),xt+1(k,P)), $t\in[1,1000]$. These prediction-realization pairs are the starting point for performance measurement of the models in the context of risk management.