parametric: Parametric
In mnquants/VaR: Portfolio Value at Risk
Description
Usage
Arguments
Value
Description
Parametric
Usage
1
parametric(mean, sd, alpha, delta_t, ES = FALSE)
Arguments
mean
Mean return of timeseries data
sd
Standard deviation value of timeseries data
alpha
Alpha value for confidence level
delta_t
Number of days to forecast VaR
Value
Vector of Adjusted close prices
mnquants/VaR documentation built on May 4, 2019, 6:37 p.m.
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Description Usage Arguments Value
Description
Parametric
Usage
1 | parametric(mean, sd, alpha, delta_t, ES = FALSE)
|
Arguments
mean |
Mean return of timeseries data |
sd |
Standard deviation value of timeseries data |
alpha |
Alpha value for confidence level |
delta_t |
Number of days to forecast VaR |
Value
Vector of Adjusted close prices
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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