Hey Guys,
i am a master's degree student in finance. For my master thesis i model the value at risk. For this, i need a create a scalar. For example i have a time series with 1000 observations with intervals of 250 observations. To model the value at risk, i need the volatility for the day n+1 (this means for the day 251). Can u help me by this issue? Or is there another possibility?
Thank you in advance for your help.
King regards
Patrick Royak
i am a master's degree student in finance. For my master thesis i model the value at risk. For this, i need a create a scalar. For example i have a time series with 1000 observations with intervals of 250 observations. To model the value at risk, i need the volatility for the day n+1 (this means for the day 251). Can u help me by this issue? Or is there another possibility?
Thank you in advance for your help.
King regards
Patrick Royak
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