Description Usage Arguments Value Note Author(s) References See Also Examples
Compute VaR under price limit condition.
See the report: Value at Risk.<researchgate.net>
1 |
Ret |
A return series that computed from price series. |
L |
Lower limit. |
U |
Upper limit. |
alpha |
Given probability of the event that loss exceeds VaR. |
type |
Computing method. 'model': Garch(1,1) method. 'histl': Historical method with return series adjusted by Garch(1,1) method. 'simul': Simulation method. |
h |
Time point of VaR computing (...,-1,0,1,...) . -1 : previous day . 0 : present . 1 : next day |
Value at Risk at the time point.
viet-hung.vu@jvn.edu.vn
Hung Vu
Value at Risk.(reserchgate.net)
https://www.researchgate.net/profile/Vu_Hung4
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