<html><head><meta http-equiv=Content-Type content="text/html; charset=UTF-8"><META name="Author" content="GroupWise WebAccess"><style type="text/css">
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</style></head><body style='font-family: Helvetica, Arial, sans-serif; font-size: 13px; '>Hello everyone,<br><br>since this is my first post here I would like to introduce myself:<br><br>My Name is Pit Goetz and I am currently working on my Ph.D. thesis in finance.<br>I usually do different stuff, wich is why I ask for help here:<br><br><br>I want to use the CAViaR Model by Engle and Manganelli (2004) in R and I found the following package for it:<br><br><a href="https://github.com/steinarv/quantileVaR">https://github.com/steinarv/quantileVaR</a><br><br>it looks rather similar to the code provided by Manganelli on his website:<br><br><a href="http://www.simonemanganelli.org/Simone/Research.html">http://www.simonemanganelli.org/Simone/Research.html</a><br>At: CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (with Robert Engle), 2004, <span class="style_8">Journal of Business & Economic Statistics</span>, 22(4): 367-381<br><br><br>Unfortunytely the R package has only a limited amount of description and comments, wich is why I am here:<br><br>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?<br><br><br>Best rgards,<br>Pit Goetz<br><br/><div style='clear: both;'><div><p class="MsoNormal" style="font-size: 11.0pt;font-family: Calibri , sans-serif;"><span style="font-size: 9.0pt;color: gray;">Research Associate</span></p><p class="MsoNormal" style="font-size: 11.0pt;font-family: Calibri , sans-serif;"><b><span style="font-size: 9.0pt;color: gray;">Martin-Luther-Universität Halle-Wittenberg</span></b><span style="font-size: 9.0pt;color: gray;"></span></p><p class="MsoNormal" style="font-size: 11.0pt;font-family: Calibri , sans-serif;"><span style="font-size: 9.0pt;color: gray;">Chair of Finance & Banking</span></p><p class="MsoNormal" style="font-size: 11.0pt;font-family: Calibri , sans-serif;"><span style="font-size: 9.0pt;color: gray;"> </span></p><p class="MsoNormal" style="font-size: 11.0pt;font-family: Calibri , sans-serif;"><span style="font-size: 9.0pt;color: gray;">Große Steinstraße 73 | D-06108 Halle | Germany</span><span style="font-size: 9.0pt;"><br><span style="color: gray;">Tel 0049 345 5523452</span></span></p></div> </div><br/></body></html>