Loss: Matrix of Value at Risk losses coming from 10 ARCH-type...

Description Usage Format Author(s) References


Matrix of Losses associated to a forecast series of 2000 observation of the VaR calculated at the 1 confidence level. This is a 2000*10 matrix, the losses are calculated using the Asymmetric Loss function of Gonzales et.al. (2004).




a matrix object.


Leopoldo Catania, 2014-07-27


Gonzalez-Rivera G, Lee TH, Mishra S (2004). Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood." International Journal of Forecasting, 20(4), 629-645. ISSN 0169-2070. doi:http://dx.doi.org/10.1016/j.ijforecast.2003.10.003. URL http://www.sciencedirect.com/science/article/pii/S0169207003001420

MCS documentation built on May 19, 2017, 8:04 p.m.

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