This is the Python script for computing the VaR, Median Shortfall and GJR-GARCH (1,1) in conjuction VaR using returns data from Yahoo Finance
Kago Edwin Ditlhong
Python version 3.7 - See https://wiki.python.org/moin/BeginnersGuide/Download for installation.
Numpy - see https://docs.scipy.org/doc for more information
Pandas - see http://pandas.pydata.org for more information
Matplotlib - see https://matplotlib.org/contents.html for more information
yfinance - see https://pypi.org/project/fix-yahoo-finance for more information