Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various parametric and semiparametric GARCH-type models. For the latter the estimation of the nonparametric scale function is carried out by means of a data-driven smoothing approach. Model quality, in terms of forecasting VaR and ES, can be assessed by means of various backtesting methods such as the traffic light test for VaR and a newly developed traffic light test for ES. The approaches implemented in this package are described in e.g. Feng Y., Beran J., Letmathe S. and Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as Letmathe S., Feng Y. and Uhde A. (2021) <https://ideas.repec.org/p/pdn/ciepap/141.html>.
| Version: | 1.0.7 |
| Depends: | R (≥ 2.10) |
| Imports: | esemifar, fracdiff, rugarch, smoots, stats, utils |
| Published: | 2023-10-22 |
| DOI: | 10.32614/CRAN.package.ufRisk |
| Author: | Yuanhua Feng [aut] (Paderborn University, Germany), Xuehai Zhang [aut] (Former research associate at Paderborn University, Germany), Christian Peitz [aut] (Paderborn University, Germany), Dominik Schulz [aut] (Paderborn University, Germany), Shujie Li [aut] (Paderborn Universtiy, Germany), Sebastian Letmathe [aut, cre] (Paderborn University, Germany) |
| Maintainer: | Sebastian Letmathe <sebastian.letmathe at uni-paderborn.de> |
| License: | GPL-3 |
| URL: | https://wiwi.uni-paderborn.de/en/dep4/feng/ |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| In views: | Finance |
| CRAN checks: | ufRisk results |
| Reference manual: | ufRisk.html , ufRisk.pdf |
| Package source: | ufRisk_1.0.7.tar.gz |
| Windows binaries: | r-devel: ufRisk_1.0.7.zip, r-release: ufRisk_1.0.7.zip, r-oldrel: ufRisk_1.0.7.zip |
| macOS binaries: | r-release (arm64): ufRisk_1.0.7.tgz, r-oldrel (arm64): ufRisk_1.0.7.tgz, r-release (x86_64): ufRisk_1.0.7.tgz, r-oldrel (x86_64): ufRisk_1.0.7.tgz |
| Old sources: | ufRisk archive |
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