Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data

We investigate the consequences for Value-at-Risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (McNeil, A.J. and R. Frey, 2000, Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach, Journal of Empirical Finance 7, 271–300.) two step procedure has very good forecasting properties. Using an...