EViews.com

Posted: **Wed Jan 22, 2014 10:57 am**

Greetings
My name’s Arun, I’m from Thailand. I’m in my senior year studying Economics at Chulalongkorn University

Now I’m doing my dissertation about comparing the effectiveness of calculating Value-at-Risk between varied methods (models). One of them is a semi-parametric method (called “Filtered Historical Simulation (FHS)”) which is the combination of parametric method from GARCH-type models (I use GJR-GRACH this time) and non-parametric method from simulations.

I have to write code in E-views programming which I have gathered from many sources. Then, I used the FHS method with rolling estimate and also calculated a 1-day Value-at-Risk (using @quantile command) with 99% confidence interval in every window (250 days in each window). Then, I received error messages.
“ -47 is not a valid index for vector-series-coefficient TGARCH1ERR in “RT_BOOT_FOR(1,1)= TGARCH1ERR(U(1,1))*@SQRT(HT_BOOT_FOR(1,1))”. “

Another Error message is ...
“(3,1) is not valid index for matrix HT_NORM_FOR in “HT_NORM_FOR(2+1,1=3.510…E-06+0.02177…*RT_BOOT_FOR(2,1)^2+0.97706…*HT_BOOT_FOR(2,1) -0.0374…*RT_BOOT_FOR(2,1)*(RT_BOOT_FOR(2,1) - @ABS(RT_BOOT_FOR(2,1)))/2”. ”

Every time I run the program, these error messages appear and the number (-47) changes to other negative integral numbers as then same problem as the number in parenthesis.

Here is my code. It would be very grateful for any help.

Code: Select all

!window = 250 'set window workfile
!length = @obsrange  ' get size of workfile
series value2 ' declare series to store results
scalar nperiods=1
scalar nsim=5000
scalar T =250

' compute stats for each window
for !k = 1 to !length-!window+1
smpl @first+!k-1 @first+!k+!window-2

equation tgarch!k.arch(1,1,thrsh=1) ds50 

'save the conditional GARCH variance
tgarch!k.makegarch tgarch!kvar 	
	
'compute th corresponding vol
series tgarch!kvol=@sqrt(tgarch!kvar) 	

'compute the standardize residuals
series tgarch!kerr=ds50/tgarch!kvol 

!x1=c(1)
!x2=c(2)
!x3=c(3)
!x4=c(4)
matrix u=@round((T-1)*@mnrnd(nperiods, nsim))+1
matrix(nperiods+1, nsim) ht_boot_for=tgarch!kvar(T)
matrix(nperiods, nsim) rt_boot_for
vector(nsim) ret_cum_boot=0

for !j=1 to nsim
for !i=1 to nperiods
rt_boot_for(!i, !j)=tgarch!kerr(u(!i, !j))*@sqrt(ht_boot_for(!i, !j))
ht_norm_for(!i+1, !j)=!x1+!x2*rt_boot_for(!i, !j)^2+!x4*ht_boot_for(!i, !j)+!x3*rt_boot_for(!i, !j)*(rt_boot_for(!i, !j)-@abs(rt_boot_for(!i, !j)))/2

ret_cum_boot(!j)=ret_cum_boot(!j)+rt_boot_for(!i, !j)
next
next

!var2 = @quantile(ret_cum_boot,0.01)

   ' reset to one observation sample 
   smpl @first+!k-1 @first+!k-1

   ' and assign to series
   value2 = !var2

next
smpl @all

Posted: **Wed Jan 22, 2014 11:10 am**

I'm not sure what you're trying to do with the line:

Code: Select all


RT_BOOT_FOR(1,1)= TGARCH1ERR(U(1,1))

But the problem is that you're referencing the U(1,1)th element of the matrix TGARCH1ERR. It looks as though you're generating U from a multivariate normal random number generator, so it can, of course, be a negative number. You can't have a negative element of a matrix.

Posted: **Fri Jan 24, 2014 1:09 am**

Thanks, Gareth

Now, I have known that what it wrong is the command “@mrnd” which is normal distribution and I have to change to “@mrnd” which is uniform random number, so all number in matrix would be positive.

And I’m sorry that I made mistake for the first code. The matrix “ht_norm_for” will now defined. Actually the "code below" was comes first and these 2 codes (on my first post and this time) are almost the same unless my first time posted use the bootstrapped error. And all of these codes (except the rolling window process) I’m copy from this link. http://faculty.chicagobooth.edu/jeffrey ... eview7.pdf

Code: Select all

[code]
!window = 250 'set window workfile
!length = @obsrange  ' get size of workfile
series value  ' declare series to store results
scalar nperiods=1
scalar nsim=5000
scalar T =250
!x1=c(1)
!x2=c(2)
!x3=c(3)
!x4=c(4)

' compute stats for each window
for !k = 1 to !length-!window+1
smpl @first+!k-1 @first+!k+!window-2

equation tgarch!k.arch(1,1,thrsh=1) ds50 
tgarch!k.makegarch tgarch!kvar 'save the conditional GARCH variance
series tgarch!kvol=@sqrt(tgarch!kvar) 'compute th corresponding vol
series tgarch!kerr=ds50/tgarch!kvol 'compute the standardize residuals
'graph errhist.displot tgarch11err

matrix (nperiods+1, nsim) ht_norm_for=tgarch!kvar(T)
matrix (nperiods, nsim) rt_norm_for
matrix eps=@mnrnd(nperiods, nsim)
vector (nsim) ret_cum_norm=0 

for !j=1 to nsim
for !i=1 to nperiods
rt_norm_for(!i, !j)=eps(!i, !j)*((ht_norm_for(!i, !j)))^0.5
ht_norm_for(!i+1, !j)=!x1+!x2*rt_norm_for(!i, !j)^2+!x4*ht_norm_for(!i, !j)+!x3*rt_norm_for(!i, !j)*(rt_norm_for(!i, !j)-@abs(rt_norm_for(!i, !j)))/2
ret_cum_norm(!j)=ret_cum_norm(!j)+rt_norm_for(!i, !j)

next
next

!var2 = @quantile(ret_cum_norm,0.01)
   ' reset to one observation sample 
   smpl @first+!k-1 @first+!k-1

   ' and assign to series
   value = !var2

next
smpl @all

[/code]

For the code in this time I also have problem that the series “value” I’ve created to store value-at-risk from each windows have its values (numbers) only the first 250 observations (from all of 4,477 observations) and the Error message was “User break in “EQUATION TGARCH!K.ARCH(1,1 THRSH=1) DS50”.”

And for the line:

Code: Select all

RT_BOOT_FOR(1,1)= TGARCH1ERR(U(1,1))

I’m still not sure what it actually means because I’m just copy from that website. What Should I do?. (By the way, sorry for my poor English and hope you will understand me.)

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