Description Usage Arguments Value Author(s) References Examples

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.

1 | ```
BoxCoxVaR(PandLdata, cl)
``` |

`PandLdata` |
Daily Profit/Loss data |

`cl` |
Confidence Level. It can be a scalar or a vector. |

Estimated Box-Cox VaR. Its dimension is same as that of cl

Dinesh Acharya

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] 1.512729
```

Dowd documentation built on May 30, 2017, 1:30 a.m.

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