Estimating Value at Risk

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

tr206
Posts: 13
Joined: Tue Feb 28, 2017 12:45 pm

Estimating Value at Risk

Postby tr206 » Wed Jul 26, 2017 5:05 am

Dear all,
I want to estimate the Value at Risk using different methods such as Monte Carlo, historical and normal. How can I do that in eviews?

Thanks for your help.

EViews Mirza
Posts: 27
Joined: Sat Apr 22, 2017 8:23 pm

Re: Estimating Value at Risk

Postby EViews Mirza » Wed Jul 26, 2017 6:48 am

We will describe how to do a Monte Carlo experiment in an upcoming blog post. That would certainly help you get started.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 5 guests