Matlab - VaR
I was just wondering if somebody knew how to do this. I know of the function gevrnd but have know clue how to generate this.
question: In Matlab, create a vector with 10,000 random returns, which follow the generalized extreme value distribution with a mean return of 8% and standard deviation equal to 2.5%. Assume the tail index equals 0.09. Then assume that these are true historical returns. Find the historical simulation VaR figure for a 5% significance level. Then repeat the exercise using normally distributed random numbers and comment on your results.