[R-SIG-Finance] CAViaR

[Pit Götz]

Hello everyone,

since this is my first post here I would like to introduce myself:

My Name is Pit Goetz and I am currently working on my Ph.D. thesis in
finance.
I usually do different stuff, wich is why I ask for help here:


I want to use the CAViaR Model by Engle and Manganelli (2004) in R and I
found the following package for it:

https://github.com/steinarv/quantileVaR

it looks rather similar to the code provided by Manganelli on his
website:

http://www.simonemanganelli.org/Simone/Research.html
At: CAViaR: Conditional Autoregressive Value at Risk by Regression
Quantiles (with Robert Engle), 2004, Journal of Business & Economic
Statistics, 22(4): 367-381


Unfortunytely the R package has only a limited amount of description and
comments, wich is why I am here:

Does anyone have any experience with this package or with CAViaR in R in
general and can help me on how to code or use it?


Best rgards,
Pit Goetz

Research Associate
Martin-Luther-Universität Halle-Wittenberg
Chair of Finance & Banking
 
Große Steinstraße 73 | D-06108 Halle | Germany
Tel 0049 345 5523452

 


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