Hi.
Can you tell me how I can combine historical simulation of Value-at-Risk (VaR) with GARCH(1,1)? I am looking for a way to give weights to each historical price change, the same way it can be done with EWMA.
Also, I am working in Excel, so any examples in Excel would be greatly...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.