Timeline for Multivariate GARCH with respect to Value at Risk
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 10, 2020 at 12:21 | answer | added | GeorgiosStrat | timeline score: 0 | |
| Dec 27, 2014 at 13:57 | vote | accept | DavidjeK | ||
| Dec 26, 2014 at 9:26 | answer | added | Richard Hardy | timeline score: 1 | |
| Dec 24, 2014 at 16:07 | comment | added | Aksakal | it's not clear what you're trying to aggregate, returns or market values? You can't aggregate returns if they're t distributed without some approximation | |
| Dec 24, 2014 at 16:04 | comment | added | DavidjeK | Yes, actually I had to study the whole book last year and I passed the course. As mentioned in the question, I have already performed the univariate GARCH models (EGARCH, GJRGARCH, APARCH etc.) on individual assets with various VaR models (gaus, student, skewed student, GED). However, it still remains unclear for me how to perform the study when using multivariate GARCH in combination with VaR. Should I just aggregate the 4 individual returns and get a density function from the aggregation? | |
| Dec 24, 2014 at 15:36 | answer | added | Aksakal | timeline score: 0 | |
| Dec 24, 2014 at 15:24 | answer | added | emcor | timeline score: 1 | |
| Dec 24, 2014 at 15:20 | comment | added | Aksakal | Did you read any literature on VaR? For instance Jorion's VaR book? There are many ways of doing VaR with GARCH in it. You have to pick one that fits your problem. | |
| Dec 24, 2014 at 14:59 | history | asked | DavidjeK | CC BY-SA 3.0 |