Exponentially Weighted Moving Average (EWMA) Value At Risk

Forecast the value at risk of a portfolio, assuming the portfolio logarithmic returns follow 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