Calculation Value at Risk in Matlab

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Preeti Dashrath
Preeti Dashrath 2024-6-28
编辑： Preeti Dashrath 2024-7-12
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回答（1 个）

Udit06
Udit06 2024-7-1
Hi Preeti,
In addition to Umar's response, you can also refer to the following MathWorks documentation that explains how Value-at-Risk can be estimated using the Historical Simulation Method.
https://www.mathworks.com/help/risk/value-at-risk-estimation-and-backtesting.html#:~:text=variance%2Dcovariance%20approach.-,Compute%20the%20VaR%20Using%20the%20Historical%20Simulation%20Method,-Unlike%20the%20normal
Additionally, you can also refer to the following MathWorks documentation to understand more about the "garch" model.
https://www.mathworks.com/help/econ/garch.html
I hope it helps.

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