The risk forecast methods are historical simulation (HS), moving average normal (MA), exponentially weighted moving average normal (EWMA), normal GARCH, student-t GARCH and extreme value theory (EVT). The risk measures are Value-at-Risk (VaR) and expected shortfall (ES).
The oldest methods used to estimate them date back to the 1950s, at least, and the youngest method to the 1980s.
The information below comes from Financial Risk Forecasting, as well as and the code to estimate them.
The VaR at probability is simply the negative value in the sorted return vector, multiplied by the monetary value of the portfolio.
Possibly the simplest volatility forecast model is a moving average (MA) model.
The most common version only employs one lag in the GARCH(1,1) model.
where is the decay factor and the conditional volatility forecast on day .
APARCH, realized vol, implied vol