#Courtesy of Dr Malvina Marchese (Bayes Business School) for BCPM0021 2022-23 academic year#
series logret=dlog(adj_close)
logret.ipolate goodret2
equation eq02.arch(tdist) goodret2
eq02.forecast(e, g, forcsmpl="1/29/2021 3/31/2021") goodret2f @garch volmodel2
'extract the estimated degree of freedom from the garch model above 
scalar dfM=eq02.c(4)
'compute the 99% quantile for a t with the above degrees of freedom 
scalar quantileM= @qtdist(0.001,dfM)
'VaR for the outofsample period 
vector VaRmodel2= volmodels2*quantileM