Search found 2 matches
- Fri Jun 16, 2017 1:50 pm
- Forum: Estimation
- Topic: estimating value at risk by using EGARCH
- Replies: 0
- Views: 3751
estimating value at risk by using EGARCH
Hi everyone, I am currently doing the forecast of VaR (Value at Risk) by using GARCH and EGARCH. I am going to do the forecast by using rolling method. It will be much appreciated if anyone could provide any help with the codes on EGARCH on the rolling basis. Let’s assume that variable x consists of...
- Thu Jun 15, 2017 3:14 pm
- Forum: Programming
- Topic: How to forecast of VaR (Value at Risk) by using GARCH and EGARCH model
- Replies: 0
- Views: 3426
How to forecast of VaR (Value at Risk) by using GARCH and EGARCH model
Hi everyone, I am currently doing the forecast of VaR (Value at Risk) by using GARCH and EGARCH. I am going to do the forecast by using rolling method. It will be much appreciated if anyone could provide any help with the codes on EGARCH on the rolling basis. Let’s assume that variable x consists of...