expected_shortfall: Expected Shortfall (ES) method for predicted and simulated...

In tsmarch: Multivariate ARCH Models

Expected Shortfall (ES) method for predicted and simulated objects

Description

Expected Shortfall (ES) method for predicted and simulated objects

Usage

expected_shortfall(object, ...)

## S3 method for class 'gogarch.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

## S3 method for class 'dcc.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

## S3 method for class 'cgarch.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

## S3 method for class 'gogarch.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

## S3 method for class 'dcc.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

## S3 method for class 'cgarch.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)

Arguments

object	an object generated from the predict or simulate methods.
...	not used.
weights	a vector of weights of length equal to the number of series. If NULL then an equal weight vector is used.
alpha	the quantile level for the value at risk. for the GOGARCH model.

Value

a matrix of the expected shortfall. For predict type input objects this will be an xts matrix with index the forecast dates.

tsmarch documentation built on April 3, 2025, 7:40 p.m.