Tail-Risk VaR/ES with EVT and GARCH-EVT
Tail-Risk VaR/ES with EVT and GARCH-EVT: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Given daily S&P 500 close prices in /app/data/sp500.csv , parameters in /app/data/params.json , and formulas that you may need are in /app/data/formulas.md . Compute log…
The task
Given daily S&P 500 close prices in `/app/data/sp500.csv`, parameters in `/app/data/params.json`, and formulas that you may need are in `/app/data/formulas.md`. Compute log returns and losses, which is the negative log return, so positive means the market went down. All VaR and ES numbers should be positive loss…
Part of codeslord/skilltrainbench-public.