[R-SIG-Finance] Calculating VaR

[Daniel Melendez]

Definitely should look into the rugarch/rmgarch packages 

Regards - Daniel

> On Jun 28, 2016, at 4:06 PM, T.Riedle <tr206 at kent.ac.uk> wrote:
> 
> Dear all,
> 
> As I am working on Value at Risk, I am looking for an appropriate package to calculate Value at Risk using different methods beyond the historical method. In doing so, I have found the package jvnVaR which provides several methods to calculate VaR. Nevertheless, I am interested in calculating the Monte Carlo VaR and the GARCH (1,1) VaR.
> 
> 
> 
> Does anybody know another package which provides  functions to calculate VaR?
> 
> 
> 
> Kind regards
> 
> 
> 
> 
>    [[alternative HTML version deleted]]
> 
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.