I am trying to calculate the Value at Risk for different models. But I am now confused for some reason. Could you please help me?
I calculate the 1% and 5% VaR (so negative numbers) and I am also calculating the VaR using EVT. I was looking at some papers on this topic.
y_in are the returns and
V0_in are the conditional volatilities.
stres = (y_in)./sqrt(V0_in); epssort = sortrows(stres(:,1),-1); psi = alpha + 0.02; trunres = epssort(ceil(psi*T)); eps = epssort(epssort>trunres); [par] = gpfit(eps-trunres); xi = par(1); beta = par(2); z = trunres + beta/xi*(((alpha/(size(eps,1)/size(stres,1)))^(-xi)-1)); V0_out(1) = info.X(1)/(1-info.X(2)-info.X(3)); VaR_GARCH_in = -sqrt(V0_in)*z;
I am looking at the positive residual numbers. In the last stage I multiply the
z with a minus, otherwise I don't get a negative number. But is this correct?
Thank you so much.