Compute VaR under price limit condition.

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

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`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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