Function estimates the VaR of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.
Daily Profit/Loss data
Confidence Level. It can be a scalar or a vector.
Estimated Box-Cox VaR. Its dimension is same as that of cl
Dowd, K. Measuring Market Risk, Wiley, 2007.
Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.
1 2 3
Loading required package: bootstrap Loading required package: MASS Loading required package: forecast  1.512729
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.