Comparer des méthodes

	Rétrovalidation de la Valeur à Risque (VaR)	Modèle GARCH (Prévision de la volatilité)
Domaine	Finance	Économétrie
Famille	Regression model	Regression model
Année d'origine	1998	1986
Auteur d'origine	Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test)	Tim Bollerslev
Type	Statistical hypothesis tests on VaR violation sequences	Conditional volatility model
Source fondatrice	Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Alias	VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Apparentées	3	5
Résumé	VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.