Replication data and code for "Wavelet-Based Measurement of Value-at-Risk and Expected Shortfall in Emerging Financial Markets"

Replication materials for the study "Wavelet-Based Measurement of Value-at-Risk and Expected Shortfall in Emerging Financial Markets". The deposit contains the daily logarithmic returns of eight financial-sector stocks listed on the Casablanca Stock Exchange (ATL, ATW, BCI, BCP, BOA, CDM, CIH, WAA) and of the MASI index (2 January 2013 – 1 June 2026), the MATLAB code computing Value-at-Risk and Expected Shortfall (historical, Gaussian, Student-t, GARCH(1,1) and wavelet estimators) with the Kupiec, Christoffersen and Acerbi–Székely backtests, the multiresolution variance decomposition and the volatility-forecast comparison, and the resulting backtesting output table.