[R-SIG-Finance] pointers on using VaR.gpd with return series?

[Brian G. Peterson]

Does anyone have any hints on utilizing VaR.gpd on return series instead 
of price series?

I have tried converting a return series to a wealth index (using 
cumprod), but this still seems to cause problems with the VaR package.

for example:

library(PerformanceAnalytics)
data(edhec)
wi<-cumprod.column(1+edhec)
library(VaR)
vt<-VaR.gpd(wi[,1])

Error in optim(init, gpd.liklhd, hessian = TRUE, method = "Nelder-Mead") :
         non-finite finite-difference value [2]
In addition: There were 50 or more warnings (use warnings() to see the 
first 50)

A message to the maintainer of the package has without response.

If I don't get any usable feedback, I'll probably move to using fit.GPD 
from QRMlib (which I have had some luck with in the past) to add a 
general Pareto method to the VaR functions in PerformanceAnalytics, as I 
feel that parametric VaR functions on a broader set of distributions and 
copulae should be more widely available.

Regards,

    - Brian