Compute the conditional variance σ2 t for each series

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George
George le 29 Août 2024
Réponse apportée : Star Strider le 29 Août 2024
I am just looking for some help about computing a conditional variance σ 2 t for each series and then I need to Compute the 95% VaR for each day. Any help would be much appreciated, thank you.

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Star Strider
Star Strider le 29 Août 2024
The garch function may be helpful, with See Also for more options and functions.

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