विधियों की तुलना करें

	मूल्य-पर-जोखिम (VaR) पश्च-परीक्षण	गार्छ मॉडल (अस्थिरता पूर्वानुमान)
क्षेत्र	वित्त	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	1998	1986
प्रवर्तक	Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test)	Tim Bollerslev
प्रकार	Statistical hypothesis tests on VaR violation sequences	Conditional volatility model
मौलिक स्रोत	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.
उपनाम	VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
संबंधित	3	5
सारांश	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.