*
* Example 7.3 (continued) from page 298
* Value at Risk calculation
*
open data d-ibmln98.dat
data(format=free,org=columns) 1 9190 ibmlog
set ibmlog = .01*ibmlog
*
* Define the equation for the mean
*
equation ar2 ibmlog
# constant ibmlog{2}
*
* GARCH with normal residuals
*
garch(p=1,q=1,equation=ar2,hseries=h,resids=res)
*
* Forecast the variance using @GARCHFORE and the series itself using UFORECAST
*
@garchfore(steps=15) h res
uforecast(equation=ar2,steps=15) fret
*
* Use SSTATS to accumulate the mean and variance over the forecast period
*
sstats 9191 9205 fret>>ret15 h>>ret15h
*
disp "5% VaR, 15 day horizon on 10000000" -10000000*(ret15+%invnormal(.05)*sqrt(ret15h))