登录之后可查看解析

The filtered historical simulation is the most comprehensive, and hence most complicated, of the non-parametric estimators. The process combines the historical simulation model with conditional volatility models (like GARCH or asymmetric GARCH). Thus, the method contains both the attractions of the traditional historical simulation approach with the sophistication of models that incorporate changing volatility. In simplified terms, the model is flexible enough to capture conditional volatility and volatility clustering as well as a surprise factor that could have an asymmetric effect on volatility. From a computational standpoint, this method is very reasonable even for large portfolios, and empirical evidence supports its predictive ability.