Info

此问题已关闭。 请重新打开它进行编辑或回答。

why do my ascending returns and normally distributed returns have the same solution when calculating the VaR with the historical simulation approach?

2 次查看（过去 30 天）
Michiel
Michiel 2014-3-28
关闭： MATLAB Answer Bot 2021-8-20
My returns consist of 1 column and 61 rows. I calculated my VaR by using the VaR_HS.hist_86_95=quantile(sorted_return_86,0.95,1); formula. Before I used this formula I changed my normal returns into ascending returns, because that is necessary for the historical simulation approach. After that I used this formula on my ascending returns and I got an answer. But I wanted to check if I was right so I used the same formula on my normal returns, the one that weren't ascending. How can it be that I get exactly the same answer for these returns? Am I doing something wrong or is this normal?
Thanks in advance,
Michiel

此问题已关闭。

回答（0 个）

此问题已关闭。

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by