:D i'm a student and i've got some problems with VaR because I'm using Eviews 5 and it's not working at all!! these are my dates, could someone give a look at them?? Please help me as soon as possible because I'm preparing an exam
:) The title I'm using is Bulgari and I need to calculate the Var for the two schemes BULL & BEAR. Here we go:
smpl 1 1264
genr r_bulgari=dlog(g_bulgari)
genr rm=@movav (r_bulgari,22)
genr scr=(r_bulgari-@mean (r_bulgari))^2
genr mv=@movav(scr,22)
genr z=((r_bulgari-@mean(r_bulgari))/sqr(mv))
genr zq=@quantile(z,0.05)
genr h=@obsnum
genr var=h*@mean(r_bulgari)+zq*sqr(h*@elem(mv,"1264"))
graph rischio.line var
for!i=3 to 1264
smpl!i !i
IF r_bulgari(!i-1)<0 then genr i1=1
genr r1=r_bulgari
genr it=1
else genr i2=1
genr r2=r_bulgari
genr it=0
end_if
next
genr vm1=mv*i1
genr vm2=mv*i2
graph Ciao.line vm1 vm2
genr rm1=rm*i1
genr rm2=rm*i2
genr zq1=@quantile((r1-@mean(r1))/sqr(vm1))
genr zq2=@quantile((r2-@mean(r2))/sqr(vm2))
genr varm=p*var1+(1-p)var2