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- Sat Sep 01, 2012 10:41 pm
- Forum: Estimation
- Topic: Estimating Value-at-Risk using GARCH(1,1)
- Replies: 6
- Views: 21294
Re: Estimating Value-at-Risk using GARCH(1,1)
What Trubador is saying is right. you are misunderstood with the GARCH value-at-Risk concept. I did my master project in VaR and CVaR using different methods. ARCH, GARCH, EGARCH, ... . The beauty of GARCH is that the Variances for each day is the function of previous day. If you are looking for a 1...