GARCH modelling

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Lisa09
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Joined: Wed Feb 17, 2016 6:44 am

GARCH modelling

Postby Lisa09 » Wed Feb 17, 2016 6:46 am

Hi all,

I am currently doing my undergraduate dissertation and I need to use Eviews to carry out my methodology.

I want to use GARCH to forecast the Value at Risk of the S&P500 index (using log returns of the closing prices) between January 2005 and January 2015 and back-test it. I want to model GARCH assuming normal distribution and one assuming Student t-distribution but I am struggling on how to go about it.

Any help/suggestions would be greatly appreciated!


Lisa
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