Can I read VaR Forecasting Models Assignment Guide on EtoBox?

VaR Forecasting Models Assignment Guide by ashlice201 is a document available to read on EtoBox.

What is VaR Forecasting Models Assignment Guide about?

The document outlines an assignment to implement seven models to forecast next day VaR and backtest VaR on chosen data, including historical simulation, Monte Carlo simulation, simple variance, RiskMetrics, GARCH with six distributions, GJR-GARCH with six distributions, and EGARCH with six distributions, and compare the models

Author

ashlice201

Language

EN