Cabedo and Moya [Cabedo, J.D., Moya, I., 2003. Estimating oil price 'Value at Risk' using the historical simulation approach. Energy Economics 25, 239-253] find that ARMA with historical simulation delivers VaR forecasts that are superior to those from GARCH. We compare the ARMA with historical simulation to the semi-parametric GARCH model proposed by Barone-Adesi et al. [Barone-Adesi, G., Giannopoulos, K., Vosper, L., 1999. VaR without correlations for portfolios of derivative securities. Journal of Futures Markets 19 (5), 583-602]. The results suggest that the semi-parametric GARCH model generates VaR forecasts that are superior to the VaR forecasts from the ARMA with historical simulation. This is due to the fact that GARCH captures volatility clustering. Our findings suggest that Cabedo and Moya's conclusion is mainly driven by the normal distributional assumption imposed on the future risk structure in the GARCH model.
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