Assets / Monte Carlo Returns Simulation
Exponentially Weighted Moving Average (EWMA) Conditional Variance Model
Simulate asset returns using an Exponentially Weighted Moving Average (EWMA) conditional variance model, coupled with an AutoRegressive Moving Average (ARMA(1,1)) conditional mean model.
References
- Christoph Hartz, Stefan Mittnik, Marc Paolella, Accurate value-at-risk forecasting based on the normal-GARCH model, Computational Statistics & Data Analysis, Volume 51, Issue 4, 2006, Pages 2295-2312
- RiskMetrics Group. Longerstaey, J. (1996). RiskMetrics technical document, Technical Report fourth edition
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