Newbie question on Risk System development

[Tomski]

Hi Guys,

I trade my person account, so it more an interest as opposed anything too serious.

I’ve started to use eviews for various things and having got reasonable familiar with OLS models etc. I’m now trying to improve my simple risk system by incorporating GARCH volatility models.

I was just wondering what people tend to do. Is it common to calibrate models in eviews and then shift them to excel in order to calculate the VaR etc. Or is it possible to do all calculations in eviews. I’ve fiddle with calibrating a model, then forecasting forward. However, say I’m looking to model tomorrows volatility after today’s close, which is obviously not in my sample, I get an out of sample error. I have a feeling I’m mixing up model development with actual practical application, so it would be good to get some ideas from people who do this regularly.

Thanks,

Tom