Univariate GARCH bootstrapping

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

Univariate GARCH bootstrapping

Unread post by TomDoan »

This demonstrates the use of bootstrapping for computing the Value at Risk (VaR) using a GARCH model with draws for the standardized residuals from the empirical distribution. A more complicated extension to multivariate GARCH models is at http://www.estima.com/forum/viewtopic.php?f=8&t=1605.
garchboot.rpf
Program file (included in RATS v8 distribution)
(1.92 KiB) Downloaded 999 times
g10xrate.xls
Data file (included in RATS v8 distribution)
(1.2 MiB) Downloaded 797 times
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