So sánh phương pháp

	Kiểm định ngược Giá trị rủi ro (VaR)	Mô hình GARCH (Dự báo Biến động)	Mô hình HAR-RV của Biến động Thực hiện	Hồi quy Bình phương Tối thiểu Thông thường (OLS)
Lĩnh vực	Tài chính	Kinh tế lượng	Tài chính	Kinh tế lượng
Họ	Regression model	Regression model	Regression model	Regression model
Năm ra đời	1998	1986	2009	2019
Người khởi xướng	Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test)	Tim Bollerslev	Fulvio Corsi	Wooldridge (textbook treatment); classical least squares
Loại	Statistical hypothesis tests on VaR violation sequences	Conditional volatility model	Linear time-series regression for volatility	Linear regression
Công trình gốc	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.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
Tên gọi khác	VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)	HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility)	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
Liên quan	3	5	5	5
Tóm tắt	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.	The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).