Calculation Value at Risk in Matlab

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Preeti Dashrath
Preeti Dashrath il 28 Giu 2024
Modificato: Preeti Dashrath il 12 Lug 2024
Matlab code

Risposte (1)

Udit06
Udit06 il 1 Lug 2024
Hi Preeti,
In addition to Umar's response, you can also refer to the following MathWorks documentation that explains how Value-at-Risk can be estimated using the Historical Simulation Method.
Additionally, you can also refer to the following MathWorks documentation to understand more about the "garch" model.
I hope it helps.

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