AFL for Value-At-Risk

T

theartofweb

Member
#1
#1
Hi,

do you know if there's some code around the compute the VaR 99% over the last 3/6/12 months on daily bars? That would be something great to code, wouldn't that? :clap:

Thanks
 
SavantGarde

SavantGarde

Well-Known Member
#2
#2
Man From Rome....:)

Okay below is the link for calculator and etc. also click the + sign against Detail for description.
http://www.nseindia.com/live_market/dynaContent/live_watch/margincalc/CMInputMargincalc.jsp

Below is the Link for the page where VaR & other downloads reside including the Archives.

http://www.nseindia.com/content/fo/fo_markettoday.htm

Above Links are from NSE (National Stock Exchange)

You can use the Data to make whatever AFL you desire...!!!

SG

theartofweb said:
Hi,

do you know if there's some code around the compute the VaR 99% over the last 3/6/12 months on daily bars? That would be something great to code, wouldn't that? :clap:

Thanks
Click to expand...
 
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