VaR Estimation in GARCH

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tarikasingh
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Joined: Thu Dec 20, 2012 2:48 am

VaR Estimation in GARCH

Postby tarikasingh » Thu Dec 20, 2012 3:14 am

Can anyone help me knowing that how to estimate the value at risk in GARCH models using E views. I am very new in the area and seriously need help in my research
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: VaR Estimation in GARCH

Postby trubador » Thu Dec 20, 2012 2:09 pm

When you become familiar with the VaR concept, the following discussion will give you the idea of how it can be done in EViews: http://forums.eviews.com/viewtopic.php? ... 70&p=23274
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tarikasingh
Posts: 2
Joined: Thu Dec 20, 2012 2:48 am

Re: VaR Estimation in GARCH

Postby tarikasingh » Fri Dec 21, 2012 12:38 am

Thanks. I had gone through the topics as suggested by you. But I dont know the starting part. like i want to calculate VaR for Garch model. I have data of Nifty index for last ten years. With e views how to do that. if you can tell me that, it will be great!
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rwb9227
Posts: 2
Joined: Wed Dec 18, 2013 5:23 am

Re: VaR Estimation in GARCH

Postby rwb9227 » Wed Dec 18, 2013 5:31 am

Hi, I really need help with this too. Have you worked it out yet?
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