پیش بینی قیمت با ارزش در معرض خطر چند روزه و انتظار برای پیش بینی کمبود برای شاخص های سهام، کالاها و نرخ ارز: داده های روزانه و روزانه

The multi-period VaR and ES forecasts are estimated for a range of datasets (stock indices, commodities, foreign exchange rates) in order to provide risk managers and financial institutions with information relating the performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts VaR and ES measures adequately at a 95% confidence level. Regarding the 97.5% confidence level that has been recently proposed in the revised 2013 version of Basel III, the GARCH-skT specification provides accurate forecasts of the risk measures for stock indices and exchange rates, but not for commodities (that is Silver and Gold). In the case of the 99% confidence level, we do not achieve sufficiently accurate VaR and ES forecasts for all the assets.