VaRloss

Returns the VaR loss function described in Gonzalez-Rivera, Lee, and 
Mishra (2004) which is an appropriate function on which to compare models using
such methods as the Model Confidence Set (MCS).

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Alexios Ghalanos

rugarch

Univariate GARCH Models

Alexios Galanos

Tobias Kley

VaRloss function

<dl><dt>alpha</dt>
<dd>The quantile (coverage) used for the VaR.</dd><dt>actual</dt>
<dd>A numeric vector of the actual (realized) values.</dd><dt>VaR</dt>
<dd>The numeric vector of VaR.</dd></dl>

Arguments

Author

Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004) — VaRloss

<dl>

<dt>alpha</dt>
<dd>The quantile (coverage) used for the VaR.</dd>

<dt>actual</dt>
<dd>A numeric vector of the actual (realized) values.</dd>

<dt>VaR</dt>
<dd>The numeric vector of VaR.</dd>

</dl>

VaRloss: Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)

Description

Usage

Arguments

Author

References