expected_shortfall {tsmarch} | R Documentation |
Expected Shortfall (ES) method for predicted and simulated objects
Description
Expected Shortfall (ES) method for predicted and simulated objects
Usage
expected_shortfall(object, ...)
## S3 method for class 'gogarch.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
## S3 method for class 'dcc.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
## S3 method for class 'cgarch.predict'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
## S3 method for class 'gogarch.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
## S3 method for class 'dcc.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
## S3 method for class 'cgarch.simulate'
expected_shortfall(object, weights = NULL, alpha = 0.05, ...)
Arguments
object |
an object generated from the predict or simulate methods. |
... |
not used. |
weights |
a vector of weights of length equal to the number of series. If NULL then an equal weight vector is used. |
alpha |
the quantile level for the value at risk. for the GOGARCH model. |
Value
a matrix of the expected shortfall. For predict type input objects this will be an xts matrix with index the forecast dates.
[Package tsmarch version 1.0.0 Index]