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Hi everyone I am try to estimate condition mean of 1st order autoregressive process to estimate Value at risk, it get me really confused with ar(1) garch(1,1) model when I estimate garch model for conditional variance, does the ar(1) here refer to the 1st order autoregressive process? if yes how can...

Hi Guys I am currently doing my dissertation on VaR forecasting. I was be able to get VaR series using Garch model, now I have to do back testing to exam the accuracy of my estimation. My problem is that I was not be able to find any test related to back testing in eviews. The test I want to run is ...