BoxCoxVaR {Dowd} | R Documentation |

## Estimates VaR with Box-Cox transformation

### Description

Function estimates the VaR of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.

### Usage

```
BoxCoxVaR(PandLdata, cl)
```

### Arguments

`PandLdata` |
Daily Profit/Loss data |

`cl` |
Confidence Level. It can be a scalar or a vector. |

### Value

Estimated Box-Cox VaR. Its dimension is same as that of cl

### Author(s)

Dinesh Acharya

### References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.

### Examples

```
# Estimates Box-Cox VaR
a<-rnorm(100)
BoxCoxVaR(a,.95)
```

[Package

*Dowd*version 0.12 Index]