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VaR Estimation in GARCH
Posted: Thu Dec 20, 2012 3:14 am
by tarikasingh
Can anyone help me knowing that how to estimate the value at risk in GARCH models using E views. I am very new in the area and seriously need help in my research
Re: VaR Estimation in GARCH
Posted: Thu Dec 20, 2012 2:09 pm
by trubador
When you become familiar with the VaR concept, the following discussion will give you the idea of how it can be done in EViews:
http://forums.eviews.com/viewtopic.php? ... 70&p=23274
Re: VaR Estimation in GARCH
Posted: Fri Dec 21, 2012 12:38 am
by tarikasingh
Thanks. I had gone through the topics as suggested by you. But I dont know the starting part. like i want to calculate VaR for Garch model. I have data of Nifty index for last ten years. With e views how to do that. if you can tell me that, it will be great!
Re: VaR Estimation in GARCH
Posted: Wed Dec 18, 2013 5:31 am
by rwb9227
Hi, I really need help with this too. Have you worked it out yet?