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So, M.K. and Philip, L. (2006) Empirical Analysis of GARCH Models in Value at Risk Estimation. Journal of International Financial Markets, Institutions and Money, 16, 180-197.
https://doi.org/10.1016/j.intfin.2005.02.001

has been cited by the following article:

• TITLE: Forecasting Value-at-Risk (VaR) in the Major Asian Economies

  AUTHORS: Faisal Nazir Zargar, Dilip Kumar

  KEYWORDS: Value-at-Risk, Asian Economies, Backtesting, Volatility Prediction

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.9, June 12, 2018

  ABSTRACT: This is an empirical study of forecasting Value-at-Risk (VaR) in the major Asian economies. The VaR is first forecasted for Singapore, Malaysia, Hong Kong of China, Indonesia, South Korea, Philippines, Thailand, China, Taiwan of China and India using different competing models. The VaR estimates are then backtested using unconditional coverage test, conditional coverage test and loss function to arrive at the best VaR model for each of the economies. The results are mixed with the highest success rate of FIGARCH model. Also, the appropriateness of the models changes across quantiles and between tails.