Please, excuse me if I am asking a Question already answered, but the explanations that I find online, just seem to be a bit hard for me.
I am currently trying to apply the Basel III requirements to Market Risk for a currency/equity (CFDs) portfolio risk analysis.
Hence I am rather new to the subject of Statistics for Market Risk I need some step-by step guidance of how to apply the Quantile Regression Value-At-Risk model with GARCH in Excel.
I am currently going trough Carol Alexander's books on the topic of Financial Mathematics, but it seems quite hard for me to understand the formulas and their implication.
How is Quantile Regression of VaR is applied for a dynamic portfolio of 100+ instruments? How to apply autocorrelation to the model? How to apply GARCH volatility measure to the model? And most of all I am interested of which variables should be regressed? Carol Alexander gives an example of Linear Regression of VaR with:
It still seems a bit hard for me to understand...
If you could please shed some light on the topic for me, I believe I can put it together in Excel.