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EVT in excel
Dear all I recently would like to conduct EVT module with excel interface but run into some problems,wich are as follows: 1.First,I tried to use optimizer which is in the excel add-in to estimate parameter,however I failed.Does anyone give me any suggestion?specifically speaking,I use that optimizer to do MLE estimation. 2.if I can sucessfully get the estimate of three parameters,how could I derive the VaR?Thanks in advance.
EVT in excel
"Analysis of Financial Time Series" by RS Tsay has the answers to both of your questions - by the way when I use EVT I usually use the non-parameteric method because the MLF sometimes are extremely non-linear (not surprisingly Excel solver can't handle it).
EVT in excel
Edwyn Thank you for your help.Actually I would not like to get involved with too much numerical analysi.that will lead a interesting theory toa boring calculation.Anyway thanks.