We know one shortcoming of historical simulation (HS) is the result highly depends on the choice of sample data length, and VaR result does not vary often or changes suddenlyespite this weakness, HS is still popular due to its obvious advantage: easy to implement, and no distribution assumption required, that's especially appealing if the estimate of distribution assumption is difficulteveral ways have been proposed to improve HS's performance, here are two selected techniques with good results I personally usehe first one is named the best of Both Worlds: A Hybrid procedure to Calculating Value at Risk by Jacob Boudoukh1, Matthew Richardson and Robert Fhitelawy hybrid it means this approach is a combination of parametric procedure and HShe basic idea is since we can allocate larger weight to recent data and smaller weight to remote data for exponential weighted moving average (EWMA) volatility calculation, hence improves the backtesting performance of parametric method, wh ... [Read More - Forex Trading Ebook]
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