Value at Risk - Ch.9: Forecasting Risk Correlations


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This reading is quite technical, and I’m having trouble following some of the math/formulas.

How much depth do you think we need to know regarding the different models? For example, should I be memorizing the formula for the GARCH(1,1) process?



Based on what I have seen they typically give the formula, but they would ask questions about the GARCH process like whether successive estimates are independent, the unconditional variance (alpha_0/(1-alpha_1-beta), the difference between GARCH and MA, things like that. There are a few old exam questions on the topic.

Value at Risk - Ch.9: Forecasting Risk and Correlations