Measuring Tail Risk -Help

[javier.gomezm]

Hello!

I'm new here and I got lots of questions about how to use Eview7. I'm working on my bachelor thesis researching Tail Risk.
The point is that I have the returns and I need to use a VAR model to remove the conditional mean of the returns to have the returns without past information:
rt=mt+zt; with rt the returns, mt the conditional mean and zt the demeaned returns.
Then I have to apply a GJR GARCH(1,1) filter to zt to obtain the corresponding standarized return serie et. rt=sd*et; sd the standard deviation
Now that I got the et (where the tail risk is captured), I need to apply an skewed t-distribution to et, to capture possible asymmetry and excess kurtosis in ei, where I need the degrees of freedom to continue with the investigation.

I've already done this in matlab and I need to use Eviews to compare results. The thing is I'm new here and I need the series of et to continue.

Please somebody help me with this.

Thanks in advance.

[trubador]

Welcome, you are at the right place. You can start by searching the forum and then have a look at EViews Illustrated and manuals. You'll find plenty of examples and learn the commands and features to do those analyses.