Tag: market risk

Using PROC IML to deploy EWMA model for market risk

Exponentially weighted moving average (EWMA) model, which is a straight-forward moving average method in market risk, could memorize the finite market movements and address the relationship among multiple asset prices. Comparing with other multivariat…

Automate univariate volatility modeling by macros

GARCH (generalized autoregressive conditional heteroscedasticity) models are widely used in market risk industry to estimate and forecast the volatility of returns. GARCH, including many variants like A-GARCH, GJR-GARCH and E-GARCH, is especially suit…

Automate univariate volatility modeling by macros

GARCH (generalized autoregressive conditional heteroscedasticity) models are widely used in market risk industry to estimate and forecast the volatility of returns. GARCH, including many variants like A-GARCH, GJR-GARCH and E-GARCH, is especially suit…