Kago496 / median_shortfall-MS-

Backtesting Median Shortfall and VaR

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VaR and Median Shortfall

Capstone Project

This is the Python script for computing the VaR, Median Shortfall and GJR-GARCH (1,1) in conjuction VaR using returns data from Yahoo Finance

Author

Kago Edwin Ditlhong

Main requirements

Python version 3.7 - See https://wiki.python.org/moin/BeginnersGuide/Download for installation.

Numpy - see https://docs.scipy.org/doc for more information

Pandas - see http://pandas.pydata.org for more information

Matplotlib - see https://matplotlib.org/contents.html for more information

yfinance - see https://pypi.org/project/fix-yahoo-finance for more information

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Backtesting Median Shortfall and VaR


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