extQuantile {ExtremeRisks}R Documentation

Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation

Description

Computes a point and interval estimate of the VaR based on the Weissman estimator.

Usage

extQuantile(data, tau, tau1, var=FALSE, varType="asym-Dep", bias=FALSE, bigBlock=NULL,
            smallBlock=NULL, k=NULL, alpha=0.05)

Arguments

data

A vector of (1 x n) observations.

tau

A real in (0,1) specifying the intermediate level τ_n. See Details.

tau1

A real in (0,1) specifying the extreme level τ'_n. See Details.

var

If var=TRUE then an estimate of the asymptotic variance of the VaR estimator is computed.

varType

A string specifying the type of asymptotic variance to compute. By default varType="asym-Dep" specifies the variance estimator for serial dependent observations. See Details.

bias

A logical value. By default biast=FALSE specifies that no bias correction is computed. See Details.

bigBlock

An interger specifying the size of the big-block used to estimaste the asymptotic variance. See Details.

smallBlock

An interger specifying the size of the small-block used to estimaste the asymptotic variance. See Details.

k

An integer specifying the value of the intermediate sequence k_n. See Details.

alpha

A real in (0,1) specifying the confidence level (1-α)100\% of the approximate confidence interval for the VaR.

Details

For a dataset data of sample size n, the VaR or EQ, correspoding to the extreme level tau1, is computed by applying the Weissman estimator. The definition of the Weissman estimator depends on the estimation of the tail index γ. Here, γ is estimated using the Hill estimation (see HTailIndex). The observations can be either independent or temporal dependent (see e.g. de Haan and Ferreira 2006; Drees 2003; de Haan et al. 2016 for details).

Value

A list with elements:

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, http://mypage.unibocconi.it/simonepadoan/; Gilles Stupfler, gilles.stupfler@ensai.fr, http://ensai.fr/en/equipe/stupfler-gilles/

References

Padoan A.S. and Stupfler, G. (2020). Extreme expectile estimation for heavy-tailed time series. arXiv e-prints arXiv:2004.04078, https://arxiv.org/abs/2004.04078.

de Haan, L., Mercadier, C. and Zhou, C. (2016). Adapting extreme value statistics to nancial time series: dealing with bias and serial dependence. Finance and Stochastics, 20, 321-354.

de Haan, L. and Ferreira, A. (2006). Extreme Value Theory: An Introduction. Springer-Verlag, New York.

Drees, H. (2000). Weighted approximations of tail processes for β-mixing random variables. Annals of Applied Probability, 10, 1274-1301.

Drees, H. (2003). Extreme quantile estimation for dependent data, with applications to finance. Bernoulli, 9, 617-657.

Leadbetter, M.R., Lindgren, G. and Rootzen, H. (1989). Extremes and related properties of random sequences and processes. Springer.

See Also

HTailIndex, EBTailIndex, estExpectiles

Examples

# Extreme quantile estimation at the level tau1 obtained with 1-dimensional data
# simulated from an AR(1) with univariate Student-t distributed innovations

tsDist <- "studentT"
tsType <- "AR"

# parameter setting
corr <- 0.8
df <- 3
par <- c(corr, df)

# Big- small-blocks setting
bigBlock <- 65
smallBlock <- 15

# Intermediate level (or sample tail probability 1-tau)
tau <- 0.97
# Extreme level (or tail probability 1-tau1 of unobserved quantile)
tau1 <- 0.9995

# sample size
ndata <- 2500

# Simulates a sample from an AR(1) model with Student-t innovations
data <- rtimeseries(ndata, tsDist, tsType, par)

# VaR (extreme quantile) estimation
extQHat1 <- extQuantile(data, tau, tau1, TRUE, bigBlock=bigBlock, smallBlock=smallBlock)
extQHat1$ExtQHat
extQHat1$CIExtQ

# VaR (extreme quantile) estimation with bias correction
extQHat2 <- extQuantile(data, tau, tau1, TRUE, bias=TRUE, bigBlock=bigBlock, smallBlock=smallBlock)
extQHat2$ExtQHat
extQHat2$CIExtQ

[Package ExtremeRisks version 0.0.4 Index]