rpot.fitted: Realized Peaks over Threshold fitted values
In lucatrapin/FinEx: Financial econometrics analysis with extreme value statistics
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Description
Computes fitted Value at Risk (VaR) and Expected Shortfall (ES) for a fitted RPoT model.
Usage
1
rpot.fitted(fit, alpha)
Arguments
fit
Output object of the rpot() function.
alpha
Probability level for the computation of the risk measures.
Details
The risk measures are computed as in Bee et al. (2019):
VaR^{α}=q+\frac{σ}{ξ}≤ft(\frac{φ}{1-α}^{ξ}-1\right)
ES^{α}=\frac{VaR^{α}}{1-ξ}+\frac{σ-qξ}{1-ξ}
Value
A matrix containing the VaR and ES fitted values at level alpha.
Author(s)
Luca Trapin
References
Bee, M., Dupuis, D. J., and Trapin, L. (2019). Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures. Journal of Financial Econometrics, 17(2), 254-283.
See Also
lucatrapin/FinEx documentation built on Dec. 21, 2021, 11:52 a.m.
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Description Usage Arguments Details Value Author(s) References See Also
Description
Computes fitted Value at Risk (VaR) and Expected Shortfall (ES) for a fitted RPoT model.
Usage
1 | rpot.fitted(fit, alpha)
|
Arguments
fit |
Output object of the |
alpha |
Probability level for the computation of the risk measures. |
Details
The risk measures are computed as in Bee et al. (2019):
VaR^{α}=q+\frac{σ}{ξ}≤ft(\frac{φ}{1-α}^{ξ}-1\right)
ES^{α}=\frac{VaR^{α}}{1-ξ}+\frac{σ-qξ}{1-ξ}
Value
A matrix containing the VaR and ES fitted values at level alpha.
Author(s)
Luca Trapin
References
Bee, M., Dupuis, D. J., and Trapin, L. (2019). Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures. Journal of Financial Econometrics, 17(2), 254-283.
See Also
R Package Documentation
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