Calculate VaR and ES based on EVT (Help)

[mrsan]

Dear all

I am doing the thesis at the moment and I have problem with Eviews.

Actually, what I am going to do is trying to apply EVT to estimate the tails of return series of USD exchange rate.
By using VaR and ES based on EVT, the aim is to find a better measure to calculate USD.
first step is going to choose threshold θ
then estimate parameters ξ and β using maximum likelihood method.
Finally, using threshold θ, ξ and β to compute VaR and ES.

Is there anyone who can help me to do these step? I am totally stuck here :(
If you are in London then we can meet up in any Starbucks coffee ^^
Thank you

[postgrad24]

Hi, I know this is quite old but did you ever get a reply to this? I'm in the same predicament..