Introduction to Bayesian Inference

Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

“…As far as we know, such a comparison has not previously been studied for hedge fund returns. A related contribution was conducted by Güner et al [18], which also implemented a two-step backtesting procedure: In the first step they estimated an ARMA(1, 1)-GARCH(1, 1) model with Student-t distributed innovations and in the second step fitted an α-stable distribution to the standardized residuals. They concluded that the conditional stable model performs well in predicting VaR.…”