The RATS Software Forum

hi tom

I was trying to forecast EGARCH model for one step ahead Value at risk. I think my codes are not producing the right results. Could you please send me the codes for one-step ahead forecasting.

it would be great help!

thanks

Hi tom! Thanks a lot for explaining. I learned three methods of calculating VaR parametric approach, historical simulation and monte carlo simulation. I plan to compute by using parametric approach with an assumption of zero mean. VaR = c(q)*sd, where c(q) is critical value of assumed distribution a...

i need to calculate one step ahead out-of-sample forecast FOR GARCH. Also i need one-step ahead VaR for all 2533 observations that is from 1 to 2533. i saw the link you recommended, could you explain me the meaning of these two codes in that link:- compute r9191=%beta(1)+%beta(2)*ibmlog(9189) comput...

hi! I ONLY CHANGED THE NSTEPS TO 1 IN THE ABOVE CODING, IS THAT THE RIGHT WAY TO FORECAST? I am doing a project and got stuck at the major step. As i mentioned before I have been trying to estimate Value at risk for garch, egarch, gjr garch. I have got the forecast for volatility, however i am facin...

hi!

thanks a lot, i missed that point i was expecting a one-day forecast.

further to that, i am trying to do back testing/stress testing of value at risk using kupiec's test and christopher's test. can you help me with the coding please.

it would be great help.

thanks

Hi! i am trying to forecast VaR values for EGARCH and have run the following codes: OPEN DATA "C:\Users\shreya\Desktop\WINRATS\FTSE\Ftse all share.xls" DATA(FORMAT=XLS,ORG=COLUMNS) 1 2533 Date price lnreturns GARCH(P=1,Q=1,EXP,ASYMMETRIC,distribution=GED,hseries=H) / LNRETURNS compute c=%b...