Function reference • cvar

Overview of package cvar

cvar-package cvar: Compute Conditional Value-at-Risk and Value-at-Risk

ES and VaR for distributions

ES(): Compute expected shortfall (ES) of distributions

VaR() VaR_qf() VaR_cdf(): Compute Value-at-Risk (VaR)

GARCH models

GarchModel(): Specify a GARCH model

sim_garch1c1(): Simulate GARCH(1,1) time series

predict(<garch1c1>): Prediction for GARCH(1,1) time series