param_var: Parametric Value At Risk
In maxto/qapi: Low-level functions for quantitative analysis
param_var R Documentation
Parametric Value At Risk
Description
Parametric or gaussian value at risk
Usage
param_var(x, p = 0.95)
Arguments
x
asset returns
p
confidence level
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
param_var(xx,p=0.95)
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| param_var | R Documentation |
Parametric Value At Risk
Description
Parametric or gaussian value at risk
Usage
param_var(x, p = 0.95)
Arguments
x |
asset returns |
p |
confidence level |
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
param_var(xx,p=0.95)
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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