Description Usage Arguments Value Author(s) References
Calculate the losses associated with VaR forecasts.
1 2 |
realized |
a vector of returns realization |
evaluated |
a vector or a matrix of VaR forecasts |
which |
The chosen VaR loss function. Only |
type |
if |
delta |
if |
tau |
the VaR confidence level |
A matrix with the VaR losses
Leopoldo Catania & Mauro Bernardi
Koenker, R., Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33-50.
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. URL http://www.sciencedirect.com/science/article/pii/S0169207003001420.
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