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 appreciated. Although the most important thing is to give me insight into how I may calculate the weights using GARCH(1,1).
Thanks in advance.
royend
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 appreciated. Although the most important thing is to give me insight into how I may calculate the weights using GARCH(1,1).
Thanks in advance.
royend