volatility-garch-VaR

Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation

finance

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16 Stars

5 Forks

16 Watchers

R Language

gpl-3.0 License

Cost to Build

$514.3K

Market Value

$537.6K

How is this calculated?

Growth over time

4 data points · 2021-11-01 → 2023-07-01

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What is the anhdanggit/volatility-garch-VaR GitHub project? Description: "Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation". Written in R. Explain what it does, its main use cases, key features, and who would benefit from using it.

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How to clone volatility-garch-VaR

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git clone https://github.com/anhdanggit/volatility-garch-VaR.git

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[email protected]:anhdanggit/volatility-garch-VaR.git

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Download master.zip

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