quarks (version 1.1.4)

vwhs: Volatility weighted historical simulation

Description

Calculates univariate Value at Risk and Expected Shortfall (Conditional Value at Risk) by means of volatility weighted historical simulation. Volatility can be estimated with an exponentially weighted moving average or a GARCH-type model.

Usage

vwhs(x, p = 0.975, model = c("EWMA", "GARCH"), lambda = 0.94, ...)

Value

Returns a list with the following elements:

VaR

Calculated Value at Risk

ES

Calculated Expected Shortfall (Conditional Value at Risk)

p

Confidence level for VaR calculation

garchmod

The model fit. Is the respective GARCH fit for model = 'GARCH' (see rugarch documentation) and 'EWMA' for model = 'EWMA'

Arguments

x

a numeric vector of asset returns

p

confidence level for VaR calculation; default is 0.975

model

model for estimating conditional volatility; default is 'EWMA'

lambda

decay factor for the calculation of weights; default is 0.94

...

additional arguments of the ugarchspec function from the rugarch-package; the default settings for the arguments variance.model and mean.model are list(model = 'sGARCH', garchOrder = c(1, 1)) and list(armaOrder = c(0, 0)), respectively

Examples

prices <- DAX$price_close
returns <- diff(log(prices))
# volatility weighting via EWMA
ewma <- vwhs(x = returns, p = 0.975, model = "EWMA", lambda = 0.94)
ewma
# volatility weighting via GARCH
garch <- vwhs(x = returns, p = 0.975, model = "GARCH", variance.model =
list(model = "sGARCH"))
garch