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

[alexios ghalanos]

Hi Brian,

All distributions in rugarch have p*,d*,q*,r* functions, but I have 
unified the functions into the following functions:

pdist, ddist, qdist, rdist

They simply take as first argument the distribution (e.g. "nig", 
"std","sstd", "norm", "snorm", "ghyp", "ged","sged","ghst"), and then 
the standard inputs where mu is the mean, and sigma the standard 
deviation (since the distributions in rugarch are standardized this way).

Best,

Alexios

On 12/05/2013 23:43, Brian G. Peterson wrote:
> 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
>
>