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voalte
2013 Apr 06
1
Value at Risk using a volatility model?
...olatility model: The
empirical standard deviation of the last 10 days. So I calculate the
standard deviation of the first ten days and this is my estimate for the
11th day and so on, until the end of my data. So I assume for each day a
normal distribution with mean zero and a sigma estimated by the voaltility
mdoel. So I use this estimated sigma to calculate the quantile, which gives
me the Value at Risk. The code would be:
volatility<-0
quantile<-0
for(i in 11:length(dat)){
volatility[i]<-sd(dat[(i-10):(i-1)])
}
for(i in 1:length(dat)){
quantile[i]<-qnorm(0.975,mean=0,sd=volatility[i])...