jVaRLim {jvnVaR} | R Documentation |
Value at Risk Function(under price limit condition)
Description
Compute VaR under price limit condition.
See the report: Value at Risk.<researchgate.net>
Usage
jVaRLim(Ret, L, U, alpha, type, h)
Arguments
Ret |
A return series that computed from price series. |
L |
Lower limit. |
U |
Upper limit. |
alpha |
Given probability of the event that loss exceeds VaR. |
type |
Computing method. 'model': Garch(1,1) method. 'histl': Historical method with return series adjusted by Garch(1,1) method. 'simul': Simulation method. |
h |
Time point of VaR computing (...,-1,0,1,...) . -1 : previous day . 0 : present . 1 : next day |
Value
Value at Risk at the time point.
Note
viet-hung.vu@jvn.edu.vn
Author(s)
Hung Vu
References
Value at Risk.(reserchgate.net)
See Also
https://www.researchgate.net/profile/Vu_Hung4
Examples
y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
L <- -0.13
U <- 0.16
v <- jVaRLim(s,L,U,alpha,'model',h)
[Package jvnVaR version 1.0 Index]