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Downloads SourceCode Mathimatics-Numerical algorithms matlab
Title: VaR-EWMA& Historical simulation Download
  • Category:
  • matlab
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  • File Size:
  • 1kb
  • Update:
  • 2017-10-23
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  • 0 Times
  • Uploaded by:
  • qi
 Description: 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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