f_histo_RM {atRisk}

Historical parameters and Risk Measures

Description

This function allows to calculate historical historical parameters and the VaR and ES for each historical period.

Usage

f_histo_RM(qt_trgt, v_dep, v_expl, type_function, starting_values, alpha)

Arguments

qt_trgt

Numeric vector, dim k, of k quantiles for different qt-estimations (k>=4)

v_dep

Numeric vector of the dependent variable

v_expl

Numeric vector of the (k) explanatory variable(s)

type_function

String argument : "gaussian" for normal distribution or "skew-t" for t-student distribution

starting_values

Numeric vector with initial values for optimization

alpha

Numeric argument for Expected-Shortfall, between 0 and 1

Value

A list with historical estimated coefficients, VaR(alpha) and ES(alpha)

Examples

# Import data
data("data_euro")

# Data process
PIB_euro_forward_4 = data_euro["GDP"][c(5:length(data_euro["GDP"][,1])),]
FCI_euro_lag_4 = data_euro["FCI"][c(1:(length(data_euro["GDP"][,1]) - 4)),]
CISS_euro_lag_4 = data_euro["CISS"][c(1:(length(data_euro["GDP"][,1]) - 4)),]

# for a skew-t
results_s <- f_histo_RM(qt_trgt= as.vector(c(0.10,0.25,0.75,0.90)),
v_dep=PIB_euro_forward_4,
v_expl=cbind(FCI_euro_lag_4, CISS_euro_lag_4),
type_function="skew-t",
starting_values=c(0, 1, -0.5, 1.3),
alpha=0.95)