0
$\begingroup$

I am running the Multivariate GARCH Model. The estimation results are below.
I want to find value at risk (VaR) and conditional value at risk (CVaR), and I want to know the R code for that.

enter image description here

Improve this question
$\endgroup$
2
  • 2
    $\begingroup$ Please clarify your specific problem or provide additional details to highlight exactly what you need. As it's currently written, it's hard to tell exactly what you're asking. $\endgroup$
    – Community Bot
    Mar 15 at 5:01
  • $\begingroup$ What multivariate GARCH model is this? This looks like a bunch of univariate models to me. Also, what variable or combination of variables do you want to find the VaR and CVaR of? And unfortunately, asking for R code is off topic. $\endgroup$
    – Richard Hardy
    Mar 15 at 8:01

0

Reset to default