# jVaR: Value at Risk Function In jvnVaR: Value at Risk

## Description

Compute VaR by many methods.

See the report: Value at Risk.<researchgate.net>

## Usage

 `1` ```jVaR(type, Return, Alpha, N_th_day) ```

## Arguments

 `type` Computing method. . 'non_adjust_hist': Historical method without any adjustment. . 'grch11_hist': Historical method with adjustment by Garch(1,1) method. . 'ewhv_hist': Exponential Weighted method. . 'ewma_hist': Historical method with adjustment by EWMA method. . 'kernel_hist': Estimating density function using kernel fitting method. . 'grch11_kernel_hist': Kernel fitting method apply on return adjusted by Garch(1,1). . 'ewma_kernel_hist': Kernel fitting method apply on return adjusted by EWMA. . 'garch11': Garch(1,1) method. . 'normal': Normal return method. . 'mle_normal': Normal return method (Estimating by maximum likelihood method). . 'monte_carlo': Simulation method. `Return` A return series that computed from price series. `Alpha` Given probability of the event that loss exceeds VaR. `N_th_day` Time point of VaR computing (...,-1,0,1,...) . -1 : previous day . 0 : present . 1 : next day

## Value

Value at Risk at the time point.

Hung Vu

## References

Value at Risk.(reserchgate.net)

 ```1 2 3 4 5``` ```y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12) s <- jReturn(y) alpha <- 0.2 h <- 0 v <- jVaR('non_adjust_hist',s,alpha,h) ```