series_var_cvar: Value at Risk and Conditional Value at risk.
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/series_var_cvar.R
series_var_cvar R Documentation
Value at Risk and Conditional Value at risk.
Description
Estimates losses distribution, VaR amd CVaR.
Usage
series_var_cvar(series, quant, normal = FALSE)
Arguments
series
returns series.
quant
Quantile.
normal
Indicator if returns are normaly distributed.
Value
Losses distribution, covar matrix, volatility, VaR and CVaR.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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View source: R/series_var_cvar.R
| series_var_cvar | R Documentation |
Value at Risk and Conditional Value at risk.
Description
Estimates losses distribution, VaR amd CVaR.
Usage
series_var_cvar(series, quant, normal = FALSE)
Arguments
series |
returns series. |
quant |
Quantile. |
normal |
Indicator if returns are normaly distributed. |
Value
Losses distribution, covar matrix, volatility, VaR and CVaR.
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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