Template-type: ReDIF-Paper 1.0 Author-Name: Cathy W. S. Chen Author-Workplace-Name: Graduate Institute of Statistics and Actuarial Science, Feng Chia University Author-Name: Richard Gerlach Author-Workplace-Name: University of Sydney Business School, Australia. Author-Name: Bruce B. K. Hwang Author-Workplace-Name: Graduate Institute of Statistics and Actuarial Science, Feng Chia University Author-Name: Michael McAleer Author-Person: pmc90 Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics) Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute). Title: Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range Abstract: Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis a ects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more eficiently than other models, across the series considered, which should be useful for financial practitioners. Classification-JEL: C53, C22, E27, E37. Keywords: Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo. Length: 40 pages Creation-Date: 2011 Number: 2011-16 X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1116.txt File-URL: https://eprints.ucm.es/id/eprint/12755/1/1116.pdf File-Format: Application/pdf Handle: RePEc:ucm:doicae:1116