Forecasting Value at risk Using GARCH (1,1)
Posted: Sun Aug 14, 2016 1:53 pm
Hi everyone,
I am the new member in this group. Today I have a tough question (for me) but I hope a lot of people can help me with this. I am doing my thesis and the topic is Forecasting Value at risk based on moving window (total observation is 1492 and the moving window length is 796, so in total I have to forecast 796 value of VaR). I have searched on the internet and found out that some people forecasting VaR using GARCH (1,1) by coding, but in my book they only show how to use GARCH (1,1) with some simple steps (maybe because they just show me how to get only 1 value of VaR?)
So, could you please help me how to use GARCH (1,1) on Eviews, step by step (from the beginning, how to make the ARMA test, before getting the VaR value...)? I would be so thankful about that.
Thank you guys for your consideration.
I am the new member in this group. Today I have a tough question (for me) but I hope a lot of people can help me with this. I am doing my thesis and the topic is Forecasting Value at risk based on moving window (total observation is 1492 and the moving window length is 796, so in total I have to forecast 796 value of VaR). I have searched on the internet and found out that some people forecasting VaR using GARCH (1,1) by coding, but in my book they only show how to use GARCH (1,1) with some simple steps (maybe because they just show me how to get only 1 value of VaR?)
So, could you please help me how to use GARCH (1,1) on Eviews, step by step (from the beginning, how to make the ARMA test, before getting the VaR value...)? I would be so thankful about that.
Thank you guys for your consideration.