Robust Value at Risk Prediction: Appendix

Abstract

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends the empirical analysis on backtesting. Notation is the same as in Mancini and Trojani (2010).

Keywords: M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

JEL Classification: C14, C15, C23, C59