caviarOptim: Function used to calculate the CAViaR

In zlfccnu/econophysics: Functions for econophysics

Description

Function used to calculate the CAViaR

Usage

caviarOptim(
  data,
  model = 1,
  pval = 0.01,
  k = 5,
  REP = 5,
  MAXITER = 500,
  predict = F
)

Arguments

data	a vector of return time series
model	choose the model among four different models
pval	the significant level
k	optinal parameter for ADAPTIVE model
REP	number of hessian optimization procedure repeats
MAXITER	maximum number of optimization procedure iterations
predict	predicted value at risk for the next period (tail(VaR,1))

Value

a list

zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.