Financial Risk Forecasting
Daily Risk Forecast
Jon Danielsson
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Risk
16
Window Length
About
Background
1
Financial and economic data
2
The programming language we use here is R
3
The data used here
4
functions.r
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Best practice
R
6
R and risk forecasting
7
Loading data
8
Plots
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Time Series
10
Descriptive statistics
Volatility
11
Univariate volatility
12
When things go wrong in univariate volatility estimation
13
Multivariate volatility
Risk
14
Implementing risk forecasts
15
Backtesting
16
Window Length
17
Simulated VaR
16
Window Length
15
Backtesting
17
Simulated VaR