1. Construct the 10-day, 1% VaR on the last day of the sample using FHS (with 10,000...

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1. Construct the 10-day, 1% VaR on the last day of the sample using FHS (with 10,000 simulations), RiskMetrics scaling the daily VaRs by p

10 (although it is incorrect), and Monte Carlo simulations of the NGARCH(1,1) model with normally distributed shocks and with parameters as estimated in Chapter 4.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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1. Construct the 10-day, 1% VaR on the last day of the sample using FHS (with 10,000...

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Elements Of Financial Risk Management

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