[R-SIG-Finance] CVaR with NIG- GARCH(1,1)

[Brian G. Peterson]

On 05/12/2013 05:20 PM, Alexandra Allexa wrote:
> My problem is how to define the NIG distribution for such a model?
> How I set the parameters/ vectors: y,p,q and n?
>
> In this situation, it is possible to use the function CVaR or ETL
> provided by the package {PerformanceAnalytics}? How?
>
> I can applied the same principle used in computing CVaR for
> CDD/CDaR?
>
> Thank you in advance,
>
> Alexandra Rautoiu

CVaR/ETL in PerformanceAnalytics don't have NIG distribution options.

I'm not sure if the NIG distribution has p,d,q,r functions as is common 
in R for discrete distributions.

If you have the q(uantile) function, you should be able to adapt the 
code from PerformanceAnalytics with relative ease, since it is only 
required to know the quantile, and then integrate over the tail, to 
compute the CVaR for a continuous distribution.

Regards,

Brian


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Brian G. Peterson
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