FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk
以爱尔兰这一小型开放经济体的外汇敞口为组合，评估多种风险价值（VaR）方法的准确性，发现正交GARCH模型最准确，EWMA方法最保守。
Abstract: We measure and evaluate the performance of a number of Value‐at‐Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open economy (Ireland) among its trading partners. The sample period highlights the changing nature of Ireland’s exposure to risk over the past decade in the run‐up to EMU. Our results offer an indication of the level of accuracy of the various approaches and discuss the issues of models ensuring statistical accuracy or more conservative leanings. Our findings suggest that the Orthogonal GARCH model is the most accurate methodology while the EWMA specification is the more conservative approach.