sim_VaRES: Simulate data from the design of Section 4 in the paper.

In FK83/forecastES3: Replication Materials for "Robust Forecast Evaluation of Expected Shortfall" (Ziegel et al, 2018)

Description

Simulate data from the design of Section 4 in the paper.

Usage

sim_VaRES(T, s2_0 = 0.35, a = 0.5, b = 0.7, zeta1 = 1, zeta2 = 1,
  t_df = 6, alpha = 0.025)

Arguments

T	Length of series to be simulated.
s2_0, a, b, t_df	Parameters of time series model which generates 'true' forecasts
zeta1, zeta2	Variances of disturbances
alpha	Level of VaR/ES forecasts

Details

Simulate time series of VaR/ES forecasts and corresponding realizations, as described in the paper by Ziegel et al (2018).

FK83/forecastES3 documentation built on May 23, 2019, 7:17 a.m.