A copula-based quantile model

Abstract

A copula-based quantile model is built. The estimates are compared to the estimates obtained using the multivariate CAViaR model, which extends the univariate version of the model. The comparison is firstly made in terms of Kupiec and Christoffersen test. Moreover, a further comparison is made using two loss functions that evaluate the distances between the losses and the VaR measures in presence of a violation. The results show that the copula approach is highly competitive providing, in particular, estimated quantiles which generally imply a lower value for the two loss functions.