Portfolio Analysis / Risk Measures / Value At Risk Forecast
Exponentially Weighted Moving Average (EWMA) Value At Risk
Changed onForecast the value at risk of a portfolio, assuming the portfolio logarithmic returns follow an Exponentially Weighted Moving Average (EWMA) conditional variance model, coupled with an AutoRegressive Moving Average (ARMA(1,1)) conditional mean model.
References
- Christoph Hartz, Stefan Mittnik, Marc Paolella, Accurate value-at-risk forecasting based on the normal-GARCH model, Computational Statistics & Data Analysis, Volume 51, Issue 4, 2006, Pages 2295-2312
- RiskMetrics Group. Longerstaey, J. (1996). RiskMetrics technical document, Technical Report fourth edition
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endpoint added
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