The goal of this project is to compute the Value-at-Risk (VaR) and Expected Shortfall (ES) of a portfolio of four equities using several different approaches.
It will be divided into 5 parts
Part I: Testing for Autoregressive Conditional Heteroskedasticity (ARCH) Effects and Estimating GARCH (1,1) models
II: Time-Varying Conditional Correlation
Part III: Constructing the Portfolio and Volatility Modelling [10 POINTS]
Part IV: Parametric VaR and ES
VI: The Model Building (or Variance-Covariance) Approach
More details when you contact me