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From: Hilmar Steindi on 8 Jun 2010 11:46
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.
From: Steven Lord on 8 Jun 2010 13:00

"Hilmar Steindi" <hilmar(a)hotmail.com> wrote in message
news:hulokd$er$1(a)fred.mathworks.com...
>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.

This sounds an awful lot like a homework question. If it is, please show
the work you've done to try to solve it and indicate where you're stuck.
For instance, if your code throws an error, give the text of the error
message. If your code doesn't return the results you expect, show where the
results start to diverge from your test case (the results you expect.) [The
process of identifying the location of the divergence may in fact show you
where the problem lies.]

For ease of debugging, you might want to start off with a shorter vector
(one you can display on one screen, say a hundred elements.)

--
Steve Lord
slord(a)mathworks.com
comp.soft-sys.matlab (CSSM) FAQ: http://matlabwiki.mathworks.com/MATLAB_FAQ
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