Hi. I know this is a very long shot but im in the middle of my thesis paper and i wonder if anyone here has any experience with using MVaR (Modified Value at Risk) ?
My basic problem is that i dunno how to compute the z values. I have no idea what they are, but then again im not excactly a master of statistics.
Anybody know how to calculate these values in relations to stock return time series? The kurtosis and skew is fine, i just dont understand what the Z values in this case are, and how to extract them.
My basic problem is that i dunno how to compute the z values. I have no idea what they are, but then again im not excactly a master of statistics.
Anybody know how to calculate these values in relations to stock return time series? The kurtosis and skew is fine, i just dont understand what the Z values in this case are, and how to extract them.
