On conditional moments of garch models, with applications to multiple period value at risk estimation

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On a threshold heteroscedastic model (2006, methodology): “The Bayesian VaR predictor derived using p( yn+k|y 1,n) under our threshold heteroscedastic model provides an alternative to existing methods like those in RiskMetrics and Wong and So (2003).”
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (2011, methodology): “Here solvency outweighs profitability and for models where VRate/α are equidistant from 1, lower or conservative rates are preferred; for example, VRate/α = 0.9 is preferred to VRate/α = 1.1, as in Wong and So (2003).”