{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2016:ATS2ZLOKD5YXPSQMI4GUHTEBXA","short_pith_number":"pith:ATS2ZLOK","schema_version":"1.0","canonical_sha256":"04e5acadca1f7177ca0c470d43cc81b81ee6544ef039242f8298cc5a8c66daa8","source":{"kind":"arxiv","id":"1605.04940","version":1},"attestation_state":"computed","paper":{"title":"Value-at-Risk: The Effect of Autoregression in a Quantile Process","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.ST"],"primary_cat":"q-fin.RM","authors_text":"Khizar Qureshi","submitted_at":"2016-03-05T22:33:01Z","abstract_excerpt":"Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%. Here we demonstrate Conditional Autoregressive Value at Risk, first introduced by Engle, Manganelli (2001). CAViaR suggests that negative/positive returns are not i.i.d., and that there is significant autocorrelation. The model is tested using data from 1986- 1999 and 1999-2009 for GM, IBM, XOM, SPX, and then validated via the dynamic quantile test. Results s"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1605.04940","kind":"arxiv","version":1},"metadata":{"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.RM","submitted_at":"2016-03-05T22:33:01Z","cross_cats_sorted":["q-fin.ST"],"title_canon_sha256":"2490169261214993385e761cc468b016c864f2d5db7531a65bba4dc9035ae087","abstract_canon_sha256":"f7f78502afa39d122b2df486156c41093ddc870bf52e3972422e7f3628927189"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:14:37.951912Z","signature_b64":"3tVhEnexT6rh0rbnFf45YvkNqJmsisQ2ryf1NzWnd8tvF5Qb5lCh0WRGqtG9CNaXdnPVU4vB/3LnEXJMW3T4Bw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"04e5acadca1f7177ca0c470d43cc81b81ee6544ef039242f8298cc5a8c66daa8","last_reissued_at":"2026-05-18T01:14:37.951179Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:14:37.951179Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Value-at-Risk: The Effect of Autoregression in a Quantile Process","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.ST"],"primary_cat":"q-fin.RM","authors_text":"Khizar Qureshi","submitted_at":"2016-03-05T22:33:01Z","abstract_excerpt":"Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%. Here we demonstrate Conditional Autoregressive Value at Risk, first introduced by Engle, Manganelli (2001). CAViaR suggests that negative/positive returns are not i.i.d., and that there is significant autocorrelation. The model is tested using data from 1986- 1999 and 1999-2009 for GM, IBM, XOM, SPX, and then validated via the dynamic quantile test. Results s"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1605.04940","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1605.04940","created_at":"2026-05-18T01:14:37.951303+00:00"},{"alias_kind":"arxiv_version","alias_value":"1605.04940v1","created_at":"2026-05-18T01:14:37.951303+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1605.04940","created_at":"2026-05-18T01:14:37.951303+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA","json":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA.json","graph_json":"https://pith.science/api/pith-number/ATS2ZLOKD5YXPSQMI4GUHTEBXA/graph.json","events_json":"https://pith.science/api/pith-number/ATS2ZLOKD5YXPSQMI4GUHTEBXA/events.json","paper":"https://pith.science/paper/ATS2ZLOK"},"agent_actions":{"view_html":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA","download_json":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA.json","view_paper":"https://pith.science/paper/ATS2ZLOK","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1605.04940&json=true","fetch_graph":"https://pith.science/api/pith-number/ATS2ZLOKD5YXPSQMI4GUHTEBXA/graph.json","fetch_events":"https://pith.science/api/pith-number/ATS2ZLOKD5YXPSQMI4GUHTEBXA/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA/action/timestamp_anchor","attest_storage":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA/action/storage_attestation","attest_author":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA/action/author_attestation","sign_citation":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA/action/citation_signature","submit_replication":"https://pith.science/pith/ATS2ZLOKD5YXPSQMI4GUHTEBXA/action/replication_record"}},"created_at":"2026-05-18T01:14:37.951303+00:00","updated_at":"2026-05-18T01:14:37.951303+00:00"}