GARCH modelling
Posted: 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
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