Value at risk forecasting of gold price: a comparison between the GARCH and LST-GARCH models

N. Alemohammad
Theory of Stochastic Processes
Vol.23 (39), no.2, 2018, pp.1-6
Value at risk is one of the most important measure in finance. This paper evaluates the value at risk forecasting performance of the GARCH and logistic smooth transition GARCH (LST-GARCH) models for the gold markets. The LST-GARCH model is capable to react differently to positive and negative shocks in financial time series. The results show that the LST-GARCH structure provides the more adequate value at risk forecasts relative to the GARCH model.