Hello to the community.
I am trying to estimate the Value at Risk (VaR) of a signle asset using GARCH models.
I have chosen the S&P 500 index for the period 04/MAY/2016 up to 04/MAY/2017 (daily data).
After a few tries a found out that the best GARCH model is a GARCH(2,2).
Now I stuck to the next step. Let's assume that I have invested 1.000 euros to S&P 500.
How do I find the 1-day ahead Value at Risk (max loss of the 05/MAY/2017) ?.
I have done the same proccess using the following methods (Variance-Covariance, Historical Simulation and Monte Carlo)
and I just need to find the result of the GARCH model so I can compare all the above methods.
For econometric discussions not necessarily related to EViews.
1 post • Page 1 of 1
Who is online
Users browsing this forum: Namploy and 4 guests