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04_GARCH_EWMA.R
04_GARCH_estimation.R
04_GARCH_simulation.R
04_Simulate_fit_predict_VaR_under_ARMA_GARCH.R
README

README

### Suggested order of R Scripts for Chapter 4

04_GARCH_simulation.R
   Simulation of univariate GARCH models
04_GARCH_estimation.R
   Estimation of univariate GARCH models
04_GARCH_EWMA.R
   Implementation of EWMA volatility estimation and comparison with GARCH
04_Simulate_fit_predict_VaR_under_ARMA_GARCH.R
   Simulate a path, fit, estimate and backtest VaR, predict, simulate and
   compute VaR with confidence intervals.