Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Valueat-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive Conditional Density (ARCD) model, which allows time-variation in higher-order conditional moments. ARCD model with time-varying conditional skewness parameter has the best in-sample fit among the GARCH-based models. The EVT-based model and the GARCH-based models which take conditional skewness and kurtosis (time-varying or otherwise) into account provide accurate VaR forecasts. ARCD model with time-varying conditional skewness parameter seems to provide the most accurate ES forecasts. (C) 2010 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.