# Value at Risk Function

### Description

Compute VaR by many methods.

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

### Usage

1 |

### 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.

### Note

viet-hung.vu@jvn.edu.vn

### Author(s)

Hung Vu

### References

Value at Risk.(reserchgate.net)

### See Also

https://www.researchgate.net/profile/Vu_Hung4

### Examples

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