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VaR-EWMA& Historical simulation

于 2021-05-09 发布 文件大小:1KB
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下载积分: 1 下载次数: 12

代码说明:

  用EWMA(garch(1,1))模型进行计算,rolling window的形式(use the method of rolling window size equals to 250, adopt EWMA model which also calls Garch(1,1) to calculate the Value at Risk)

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