Econometric modeling and value-at-risk using the Pearson type-IV distribution

►We model financial returns via a GARCH process and Pearson type-IV residuals. ►We examine six major US and European financial indices. ►The performance of the model is examined by a variety of value-at-risk tests. ►The model improves the value of the quasi maximum likelihood estimator. ►The results are in general better compared to the skewed Student-t distribution.