Rolling VaR estimates
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
Re: Rolling VaR estimates
Suppose you have a return series called rt. Then, for EWMA you can try:
And as for GJR with tdistribution:
Finally, to obtain the lower %1 quantile of a series y:
Please note that, all these commands (and many more) are available in the users guide.
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!alpha = 0.02 'you should provide an appropriate value for this parameter
smooth(s,!alpha) rt^2 ewma
And as for GJR with tdistribution:
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arch(1,1,thrsh=1,tdist) rt c
Finally, to obtain the lower %1 quantile of a series y:
Code: Select all
scalar q1 = @quantile(y,0.01)
Please note that, all these commands (and many more) are available in the users guide.
Re: Rolling VaR estimates
I run the programs, but it keeps showing up error messages. And have tried to adpat the codes, but couldnt figure out what the problem is!!
Could someone please help, by perhaps even giving some hints at the problems? I very much appreciate your time!
Thanks.
Could someone please help, by perhaps even giving some hints at the problems? I very much appreciate your time!
Thanks.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12384
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Rolling VaR estimates
Code: Select all
%smpl = @str(!i) + " 1250"
scalar x = @elem(ewma, %smpl)
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Re: Rolling VaR estimates
Gareth,
When i run it, it shows up 'Illegal date 1 1250 in “scalar x = @elem(ewma, "1 1250")"
What could be the problem here?
When i run it, it shows up 'Illegal date 1 1250 in “scalar x = @elem(ewma, "1 1250")"
What could be the problem here?

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12384
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Rolling VaR estimates
Sorry, I posted without thinking.
I don't understand what you're trying to do with that line. @elem takes a single date, not a range of dates.
I don't understand what you're trying to do with that line. @elem takes a single date, not a range of dates.
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 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12384
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Rolling VaR estimates
Code: Select all
scalar x = @elem(ewma, "1251")
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Re: Rolling VaR estimates
I tried to modify your code so as to perform what you want and to give you the idea for further adjustments. However, I suggest you to go over An Introduction to Eviews Programming before moving forward.
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!window = 1250
!length = @obsrange
!alpha = 10.94 '1alpha is the coefficient of estimated variance
!scale = 10000 'it might be a good idea to adjust the scale
series x 'create the output series beforehand
matrix(!window,!length) results 'you can create a matrix to store all the resulting smoothed series
' move sample !step obs at a time
for !i = 1 to !length!window
smpl @first+!i1 @first+!i+!window2
smooth(s,!alpha) !scale*returns^2 ewma
stom(ewma,ewmat) 'convert series to a vector
colplace(results,ewmat,!i) 'place the vector into the matrix
x(!window+!i) = ewma(!window+!i)
next
smpl @all
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