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What is GARCH-EVT Approach for VaR Estimation about?

This document provides an introduction and background to estimating value at risk using an extreme value approach. It discusses using univariate extreme value theory combined with a GARCH model to estimate daily value at risk. The document outlines the theoretical frameworks of return series, value at risk, time series models such as AR and GARCH, and extreme value theory. It describes the methodology used, including data analysis, estimating value at risk, threshold choice, backtesting, and software. The r

Author

Raghuveer Chandra

Language

EN