City Research Online

Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests

Leccadito, A., Boffelli, S. & Urga, G. (2014). Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests. International Journal of Forecasting, 30(2), pp. 206-216. doi: 10.1016/j.ijforecast.2013.07.014


We propose independence and conditional coverage tests which are aimed at evaluating the accuracy of Value-at-Risk (VaR) forecasts from the same model at different confidence levels. The proposed procedures are multilevel tests, i.e., joint tests of several quantiles corresponding to different confidence levels. In a comprehensive Monte Carlo exercise, we document the superiority of the proposed tests with respect to existing multilevel tests. In an empirical application, we illustrate the implementation of the tests using several VaR models and daily data for 15 MSCI world indices.

Publication Type: Article
Additional Information: © 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Publisher Keywords: Risk management; Value-at-risk; Backtesting; Conditional and unconditional coverage tests; Monte Carlo
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Departments: Bayes Business School > Finance
Text - Accepted Version
Available under License : See the attached licence file.

Download (217kB) | Preview
Text (Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence) - Other
Download (201kB) | Preview



Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login