*
* Example 7.2 from page 292
* Value at Risk calculation
*
open data d-ibmln98.dat
data(format=free,org=columns) 1 9190 ibmlog
set ibmlog = .01*ibmlog
graph(footer="Figure 7.1 Time plot of daily log returns of IBM stock")
# ibmlog
*
garch(p=1,q=1,i=nodrift,nomean,resids=u,hseries=h) / ibmlog
*
* Check Q's on the squared standardized residuals
*
set uustd = u**2/h
corr(number=10,qstats,dfc=1) uustd
*
set uu = u**2
compute vc=%beta(1),va=%beta(2),vb=%beta(3)
frml hfrml  h  = vc+vb*h{1}+va*uu{1}
frml uufrml uu = h
group garchmod hfrml>>h uufrml>>uu
forecast(model=garchmod,noprint,steps=1)
*
disp "5% VaR on 10,000,000" %invnormal(.95)*sqrt(h(9191))*10000000
disp "1% VaR on 10,000,000" %invnormal(.99)*sqrt(h(9191))*10000000