This is a project in Matlab for an assignemnt requested in one of my subject during my master.
I was to analyze stocks inside the EURO stoxx 50 randomly chosen after inserting the matricola number.There are 3 parts:
univariate anlysis: stylized facts of returns, univariate ARCH and GARCH
multivariate analysis: Engle's DCC, Orthogonal GARCH and riskmetrics approach (used as benchmark)
Value at Risk and the Diebold-Mariano test