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VaR with ARMA-GARCH innovations in fGarch
Ludovic Mbakop Yopa
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Jan 17, 2015
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r-sig-finance
________________________________ Good Evening from Copenhagen , Hi my name is Ludovic please i have a quick question I would like to compute the 1 day ahead VaR for a timeseries of returns with Arma(1,1)-Garch innovations the time series has...
VaR with ARMA and Garch
Ludovic Mbakop Yopa
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Jan 17, 2015
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r-sig-finance
________________________________ From: Ludovic Mbakop Yopa Sent: Saturday, January 17, 2015 3:12 PM To: r-sig-finance at r-project.org Subject: VaR with ARMA and Garch Good Evening, I am Ludovic , please I would like to compute the 1 day...
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