The interest on forecasting Value at Risk (VaR) has been growing over the last two decades due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a battleground when alternative models are fitted to represent the dynamic evolution of time series of financial returns. There is a vast amount of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.
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