garch for VaR portofilo

muhammetsait — Fri, 13 Nov 2020 09:09:34 GMT

I want to calculate a VaR portfolio. however, I have to use garch as the data does not fit the normal distribution. How do I find the standard deviation and corelation coefficients required for VaR in garch method. Thank you.

Re: garch for VaR portofilo

SASCom1 — Tue, 17 Nov 2020 15:31:46 GMT

It will be helpful if you can further explain the following to better address your question:

(1). What specific GARCH model do you want to estimate? Is it a univariate GARCH model or a multivariate GARCH model?

(2). How is the GARCH model used in your VaR portfolio calculation? How is it related to 'the standard deviation and correlation coefficients required for VaR' that you want to compute?

PROC AUTOREG supports various types of univariate GARCH models as discussed here:

https://go.documentation.sas.com/?cdcId=pgmsascdc&cdcVersion=9.4_3.4&docsetId=etsug&docsetTarget=etsug_autoreg_details12.htm&locale=en

and PROC VARMAX supports multivariate GARCH modeling as discussed here:

https://go.documentation.sas.com/?cdcId=pgmsascdc&cdcVersion=9.4_3.4&docsetId=etsug&docsetTarget=etsug_varmax_details64.htm&locale=en

Further clarifications on (1) and (2) above will be helpful to better understand what you want from the GARCH model estimation to get your desired statistics.

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garch for VaR portofilo

Re: garch for VaR portofilo