Value at Risk Function(under price limit condition)

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Description

Compute VaR under price limit condition.

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

Usage

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jVaRLim(Ret, L, U, alpha, type, h)

Arguments

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

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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y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
L <- -0.13
U <- 0.16
v <- jVaRLim(s,L,U,alpha,'model',h)