value_at_risk: Value at Risk (VaR) method for predicted and simulated...

In tsmarch: Multivariate ARCH Models

Value at Risk (VaR) method for predicted and simulated objects

Description

Value at Risk (VaR) method for predicted and simulated objects

Usage

value_at_risk(object, ...)

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

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

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

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

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

## S3 method for class 'cgarch.simulate'
value_at_risk(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.

Value

a matrix of the value at risk. 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.