Single asset and multi-assets portfolio analysis and forecast of both Value at Risk (VaR) and Expected Shortfall (ES). The single asset consider is the S&P500 (data retrived from the St.Louis FED) while the portfolio is composed by: Amazon (AMZN), Apple (AAPL) and Tesla (TSLA) stocks (data retrived from Yahoo Finance). The goal is to estimate and discuss different techniques to estimate both VaR and ES and compare the results. Moreover a GARCH (and an e-GARCH) model is implemented. In this repository is possible to find:
1️⃣. a .R file that is the analysis' code 2️⃣. a .md file that is the throughly discussion about the different VaR and ES. This file is rendered and ready to be presented. 3️⃣. a .rmd file that contains the code for the Rmarkdown document displayed in the .md file. The difference is that, if knitted, this file produces a .doc file. 4️⃣. a folder that contains the plot/images included into the .md file.
📩 Feel free to get in touch with me for feedbacks and comments.