Calculation Value at Risk in Matlab

Matlab code

Answer 1

[Udit06]

Hi Preeti,

In addition to Umar's response, you can also refer to the following MathWorks documentation that explains how Value-at-Risk can be estimated using the Historical Simulation Method.

https://www.mathworks.com/help/risk/value-at-risk-estimation-and-backtesting.html#:~:text=variance%2Dcovariance%20approach.-,Compute%20the%20VaR%20Using%20the%20Historical%20Simulation%20Method,-Unlike%20the%20normal

Additionally, you can also refer to the following MathWorks documentation to understand more about the "garch" model.

https://www.mathworks.com/help/econ/garch.html

I hope it helps.