**Reading Source:** Textbook - Value at Risk

**Key Takeaways:**

- Time Varying Risk or Outliers?
- Modelling Time Varying Risk
- Moving Averages
- GARCH Estimation
- Long-Horizon Forecasts
- The RiskMetrics Approach

- Modeling Correlations
- Moving Averages
- GARCH
- Exponential Averages
- Crashes and Correlations

- Using Options Data
- Implied Volatilities
- ISDs as Risk Forecasts

- Conclusions
- Appendix 9.A Multivariate GARCH Models
- VEC(1,1) Model - Vector Model
- Diagonal VEC (DVEC) Model
- Scalar Model
- BEKK Model
- Factor Model
- Constant Conditional Correlation Model (CCC)
- Dynamic Conditional Correlation Model (DCC)