Which GARCH model is best for Value-at-Risk?

The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. Out-of-sample volatility forecasts are produced usinga 500 day rolling window estimation on data covering January 2007 to December2014. The VaR estimates are thereafter evaluated through Kupiec’s test andChristoffersen’s test in order to find the best model. The results suggest thatasymmetrical models perform better than symmetrical models albeit the simpleARCH is often good enough for 1 % VaR estimates