VaRloss: Value at Risk loss function of Gonzalez-Rivera, Lee, and...
In rugarch: Univariate GARCH models
Description
Usage
Arguments
Author(s)
References
Description
Returns the VaR loss function described in Gonzalez-Rivera, Lee, and
Mishra (2004) which is an appropriate function on which to compare models using
such methods as the Model Confidence Set (MCS).
Usage
1
VaRloss(alpha, actual, VaR)
Arguments
alpha
The quantile (coverage) used for the VaR.
actual
A numeric vector of the actual (realized) values.
VaR
The numeric vector of VaR.
Author(s)
Alexios Ghalanos
References
Gonzalez-Rivera, G., Lee, T. H., and Mishra, S. 2004, Forecasting volatility:
A reality check based on option pricing, utility function, value-at-risk,
and predictive likelihood. International Journal of Forecasting,
20(4), 629–645.
rugarch documentation built on May 2, 2019, 4:43 p.m.
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Description Usage Arguments Author(s) References
Description
Returns the VaR loss function described in Gonzalez-Rivera, Lee, and Mishra (2004) which is an appropriate function on which to compare models using such methods as the Model Confidence Set (MCS).
Usage
1 | VaRloss(alpha, actual, VaR)
|
Arguments
alpha |
The quantile (coverage) used for the VaR. |
actual |
A numeric vector of the actual (realized) values. |
VaR |
The numeric vector of VaR. |
Author(s)
Alexios Ghalanos
References
Gonzalez-Rivera, G., Lee, T. H., and Mishra, S. 2004, Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. International Journal of Forecasting, 20(4), 629–645.
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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