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R: calc_VaRt()
Solbiati Alessandro edited this page Jul 31, 2016
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calc_VaRt <- function(Serie,conf,VaR,s_startdate,s_enddate,init=c(0,1,1))
##Description
Compute Value at Risk under Student's t distribution Hypothesis for the returns, if VaR==FALSE compute Expected Shortfall. The degree of freedom of the Student distribution are estimated with a max-likelihood function that sometimes does not converge, this could cause issues to the software.
##Usage
- Serie –> the time-serie object with financial data
- conf -> confidence level
- start_date -> start date for the statistical sample
- end_date -> end date for the statistical sample
- VaR -> TRUE/FALSE to compute VAR/ES