Compute the conditional variance σ2 t for each series

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George
George 2024 年 8 月 29 日
回答済み: Star Strider 2024 年 8 月 29 日
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 2024 年 8 月 29 日
The garch function may be helpful, with See Also for more options and functions.

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