بهبود پیش بینی های روزمره در معرض خطر: ارتباط عدم قطعیت کوتاه مدت برای ارزیابی کیفیت نظارتی

A simulation study and an analysis of daily market prices suggest that short- and mid-run information components cover the relevant information that is necessary for estimating adequate daily VaR. Excluding long-run information components reduces daily VaR forecasts by (up to) 4% and does not impact the quality of regulatory back-testing.