Extract the in-sample conditional Value-at-Risk, or the in-sample conditional Expected Shortfall for the chosen risk level(s).

1 2 |

`object` |
an |

`level` |
the risk level(s), must be between 0 and 1 |

`type` |
the method used to compute the empirical quantiles of the standardised residuals |

`...` |
arguments passed on (currently not used) |

A vector or matrix containing either the conditional Value-at-Risk (VaR) or the conditional Expected Shortfall (ES) for the chosen risk level(s).

Genaro Sucarrat, http://www.sucarrat.net/

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | ```
##generate random variates, estimate model:
y <- rnorm(50)
mymodel <- arx(y, arch=1)
##extract 99% expected shortfall:
ES(mymodel)
##extract 99%, 95% and 90% expected shortfalls:
ES(mymodel, level=c(0.99, 0.95, 0.9))
##extract 99% value-at-risk:
VaR(mymodel)
##extract 99%, 95% and 90% values-at-risk:
VaR(mymodel, level=c(0.99, 0.95, 0.9))
``` |

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