rpvc_VaR: Value-at-Risk via Robust Principal Volatility Components

In ctruciosm/Robpvc: Robust Principal Volatility Components

Value-at-Risk via Robust Principal Volatility Components

Description

Forecast the one-step-ahead Value-at-Risk (alpha risk level) using the robust principal volatility component procedure as in Trucíos et al. (2019).

Usage

rpvc_VaR(rtn, m = 10, c = 0.99, k = 1, weights = NULL, alpha = c(0.01, 0.05))

Arguments

rtn	Matrix of time series data
m	lag parameter, by default m = 10
c	threshold value, by default c = 0.99 (observation with largest 1 percent Mahalanobis distance are considered as extreme observations).
k	number of volatility components
weights	vector of portfolio weights, if NULL the equal-weight portffolio is used
alpha	risk leveñ, iby default alpha = c(0.01, 0.05)

Value

One-step-ahead Value-at-Risk alpha risk level

References

Trucíos, Carlos, Luiz K. Hotta, and Pedro Valls-Pereira. On the robustness of the principal volatility components. Journal of Empirical Finance 52.1 (2019): 1201-2019.

Examples

rpvc_VaR(toyexampledata, m = 10, c = 0.99, k = 1, alpha = c(0.01, 0.025, 0.05))

ctruciosm/Robpvc documentation built on July 27, 2022, 10:22 p.m.