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

Brian G. Peterson brian at braverock.com
Tue Aug 21 14:37:50 CEST 2007

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:


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.


    - Brian

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