risk_forecasts: Returns and risk forecasts for the S&P 500 index
In BayerSe/esback: Expected Shortfall Backtesting
risk_forecasts R Documentation
Returns and risk forecasts for the S&P 500 index
Description
A dataset containing the daily log returns and risk forecasts for the S&P 500 index.
The quantile and expected shortfall forecasts are for the probability level 2.5%.
Usage
data(risk_forecasts)
Format
A data.frame with 4396 rows and 4 variables
Details
Description of the variables:
- r
Daily log returns from January 3, 2000 to September 29, 2017 (4465 days)
- q
Value-at-Risk forecasts of the Historical Simulation approach
- e
Expected shortfall forecasts of the Historical Simulation approach
- s
Volatility forecasts of the Historical Simulation approach
BayerSe/esback documentation built on Sept. 10, 2023, 2:09 a.m.
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| risk_forecasts | R Documentation |
Returns and risk forecasts for the S&P 500 index
Description
A dataset containing the daily log returns and risk forecasts for the S&P 500 index. The quantile and expected shortfall forecasts are for the probability level 2.5%.
Usage
data(risk_forecasts)
Format
A data.frame with 4396 rows and 4 variables
Details
Description of the variables:
- r
Daily log returns from January 3, 2000 to September 29, 2017 (4465 days)
- q
Value-at-Risk forecasts of the Historical Simulation approach
- e
Expected shortfall forecasts of the Historical Simulation approach
- s
Volatility forecasts of the Historical Simulation approach
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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