An empirical comparison among VaR models and time rules with elliptical and stable distributed returns

This paper compares and investigates the impact of different VaR models with conditionalelliptical and stable distributed returns. In particular, we analyze some non-Gaussian VaRmodels and discuss the applicability of some temporal aggregation rules. Thus, we propose andexamine the performance of several VaR models: (i) an EWMA model with Student's t conditionaldistributions, (ii) a stable sub-Gaussian model, (iii) a stable asymmetric model. All models aresubjected to backtest on out-of-sample data in order to assess their forecasting power and to showhow the associated aggregation rules are performed in practice.