1) 程式碼(歷史模擬法)
series VaR=NA
smpl full
smpl 1 1900
loop for j=1901..1974
scalar qt=quantile(Y,0.01)
#---k2 is last smpl
scalar k2=$t2+1
#---calculate relative value at risk
VaR[k2]=-qt
smpl +1 +1
end loop
smpl full
結果:1901-1974 數值為 1.460950
series VaR=NA
smpl full
smpl 1 1900
loop for j=1901..1974
scalar w0=1000000
#---sigma is standard error
scalar sigma=sd(Y)
#---normal distribution with 0.01% critical value
scalar c_005=critical(z,0.05)
#---k2 is last smpl
scalar k2=$t2+1
#---calculate relative value at risk
VaR[k2]=w0*c_005*sigma/100
smpl +1 +1
end loop
smpl full
執行結果 VaR(mean)