Michiel

Active since 2014

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I'm getting an error which I don't understand: index exceeds matrix dimensions, what does it mean?
When i'm using this code: for i=1:size(m,1) VaR(i,1)=-quantile(AEurostoxAR(i+m,1),0.05); end i'm getting this error: ...

10 years ago | 0 answers | 0

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Question

How to assign weights to returns when using the WHS method in matlab?
Can someone please explain to me how I can assign weights to returns in Matlab? I'm using the η τ ={ηt-1 (1- η)/1- ηm} formula w...

10 years ago | 0 answers | 0

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Question

How to assign weights to returns when doing the whs method?
Hello, I want to use the weighted historical simulation method to calculate the VaR. I will use a rolling window of 250, how ...

10 years ago | 0 answers | 0

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Question

why do my ascending returns and normally distributed returns have the same solution when calculating the VaR with the historical simulation approach?
My returns consist of 1 column and 61 rows. I calculated my VaR by using the VaR_HS.hist_86_95=quantile(sorted_return_86,0.95,1)...

10 years ago | 0 answers | 0

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Question

What am I missing in my HS VaR code?
I have to calculate the value at risk with the help of the historical simulation approach, over some past returns. I used the fo...

10 years ago | 0 answers | 0

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