VaR {extrememix}R Documentation

Value-at-Risk

Description

Computation of the Value-at-Risk for an extreme value mixture model.

Usage

VaR(x, ...)

## S3 method for class 'evmm'
VaR(x, values = NULL, cred = 0.95, ...)

Arguments

x

the output of a model estimated with extrememix

...

additional arguments for compatibility.

values

numeric vector of values of which to compute the value at risk.

cred

amplitude of the posterior credibility interval.

Details

The Value-at-Risk for level q\

Value

A list with the following entries:

References

Lattanzi, Chiara, and Manuele Leonelli. "A changepoint approach for the identification of financial extreme regimes." Brazilian Journal of Probability and Statistics.

See Also

ES, quant, return_level

Examples

VaR(rainfall_ggpd)

[Package extrememix version 0.0.1 Index]