Description Usage Arguments Value Examples

Calculates univariate Value at Risk and Expected Shortfall (Conditional Value at Risk) by means of volatility weighted historical simulation. Volatility can be estimated with an exponentially weighted moving average or a GARCH-type model.

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`x` |
a numeric vector of asset returns |

`p` |
confidence level for VaR calculation; default is |

`model` |
model for estimating conditional volatility; default is |

`lambda` |
decay factor for the calculation of weights; default is |

`...` |
additional arguments of the |

Returns a list with the following elements:

- VaR
Calculated Value at Risk

- ES
Calculated Expected Shortfall (Conditional Value at Risk)

- garchmod
The model fit. Is the respective GARCH fit for

`model = 'GARCH'`

(see`rugarch`

documentation) and`'EWMA'`

for`model = 'EWMA'`

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