In the value‐at‐risk (VaR) literature, many existing works assume that the noise distribution is the same over time. To take into account the potential time‐varying dynamics of stock returns, we propose a dynamic asymmetric exponential distribution‐based framework. The new method includes a time‐varying shape parameter to control the dynamic shape of the distribution, a time‐varying probability parameter to control the dynamic proportion of positive returns, and a time‐varying scale parameter to control the dynamic volatility. We combine the generalized method of moments and the exponentially weighted moving average (EWMA) approach to derive specifications for these time‐varying parameters. Empirical applications demonstrate the superior performance of the proposed method when compared with various GARCH and EWMA approaches without time variation in the innovations.

中文翻译：

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通过动态非对称指数功率分布进行风险价值预测

在风险价值（VaR）文献中，许多现有工作都假设噪声分布随时间变化是相同的。为了考虑潜在的股票收益随时间变化的动态，我们提出了一个基于动态非对称指数分布的框架。新方法包括一个时变形状参数来控制分布的动态形状，一个时变概率参数来控制正收益的动态比例，以及一个时变比例参数来控制动态波动。我们将广义矩方法与指数加权移动平均值（EWMA）方法相结合，以得出这些时变参数的规范。