VaRloss: Value at Risk loss function of Gonzalez-Rivera, Lee, and...

Description Usage Arguments Author(s) References

View source: R/rugarch-methods.R

Description

Returns the VaR loss function described in Gonzalez-Rivera, Lee, and Mishra (2004) which is an appropriate function on which to compare models using such methods as the Model Confidence Set (MCS).

Usage

1
VaRloss(alpha, actual, VaR)

Arguments

alpha

The quantile (coverage) used for the VaR.

actual

A numeric vector of the actual (realized) values.

VaR

The numeric vector of VaR.

Author(s)

Alexios Ghalanos

References

Gonzalez-Rivera, G., Lee, T. H., and Mishra, S. 2004, Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. International Journal of Forecasting, 20(4), 629–645.



rugarch documentation built on May 19, 2017, 7:42 a.m.
Search within the rugarch package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.