結果
1901 8431.978
1902 8431.978
1903 8431.978
1904 8431.978
1905 8431.978
1906 8431.978
1907 8431.978
1908 8431.978
1909 8431.978
1910 8431.978
1911 8431.978
1912 8431.978
1913 8431.978
1914 8431.978
1915 8431.978
1916 8431.978
1917 8431.978
1918 8431.978
1919 8431.978
1920 8431.978
1921 8431.978
1922 8431.978
1923 8431.978
1924 8431.978
1925 8431.978
1926 8431.978
1927 8431.978
1928 8431.978
1929 8431.978
1930 8431.978
1931 8431.978
1932 8431.978
1933 8431.978
1934 8431.978
1935 8431.978
1936 8431.978
1937 8420.188
1938 8420.188
1939 8380.058
1940 8380.058
1941 8380.058
1942 8380.058
1943 8380.058
1944 8355.639
1945 8355.639
1946 8355.639
1947 8353.833
1948 8353.833
1949 8353.833
1950 8380.058
1951 8380.058
1952 8380.058
1953 8380.058
1954 8380.058
1955 8380.058
1956 8380.058
1957 8380.058
1958 8380.058
1959 8380.058
1960 8380.058
1961 8380.058
1962 8380.058
1963 8380.058
1964 8380.058
1965 8380.058
1966 8380.058
1967 8380.058
1968 8380.058
1969 8380.058
1970 8380.058
1971 8380.058
1972 8380.058
1973 8380.058
1974 8380.058
程式撰寫
#VAR(歷史模擬法,顯著水準為0.05)
#記得要打開啟資料檔指令 不然程式會出錯
open b-g.gdt
series VaR=NA
smpl 1 1900
#樣本筆數從第1901筆到第1974筆
#loop for 即為迴圈之公式
loop for j=1901..1974
scalar w0=1000000
scalar sigma=sd(Y)
#sigma=sd(Y)為標準差公式
scalar r=quantile(Y,0.05)
#與均數-共變異數的差別在於一個是用quantile,一個是用critical
#原smpl 1到1900 $t2+1 表最後一筆資料(k)在往後加一樣本,為求1901之VaR
scalar k2=$t2+1
#VaR公式
VaR[k2]=-w0*r/100
#筆數 起始 各往後加1筆樣本
smpl +1 +1
#記得要結束迴圈
end loop
#記得恢復全樣本
smpl full