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VaR-EWMA& Historical simulation

于 2021-05-09 发布文件大小:1KB

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用EWMA（garch（1，1））模型进行计算，rolling window的形式(use the method of rolling window size equals to 250, adopt EWMA model which also calls Garch(1,1) to calculate the Value at Risk)

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VaR-EWMA& Historical simulation

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