cvar-package | Compute Conditional Value-at-Risk and Value-at-Risk |
cvar | Compute Conditional Value-at-Risk and Value-at-Risk |
ES | Compute expected shortfall (ES) of distributions |
GarchModel | Specify a GARCH model |
predict.garch1c1 | Prediction for GARCH(1,1) time series |
sim_garch1c1 | Simulate GARCH(1,1) time series |
VaR | Compute Value-at-Risk (VaR) |
VaR.default | Compute Value-at-Risk (VaR) |
VaR.numeric | Compute Value-at-Risk (VaR) |
VaR_cdf | Compute Value-at-Risk (VaR) |
VaR_qf | Compute Value-at-Risk (VaR) |