Conditional Autoregressive value at risk (CAViaR) | VAR for VaR or MVMQ-CAViaR | References
Package: QuantileModels 1.0.0
Christian Jorge Carreiro
QuantileModels: Estimation of Different Quantile Related Models
Estimation of different quantile models, at the moment only Conditional autoregressive value at risk (CAViaR) proposed by Engle & Manganelli (2004) <doi:10.1198/073500104000000370> with also the specification proposed in Huang et al. (2009) <doi:10.1016/j.eneco.2008.12.006> and it's multivariate extension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR) proposed by White et al. (2015) <doi:10.1016/j.jeconom.2015.02.004> are available, however, in further updates, other models and extensions will be included.
Authors:
QuantileModels_1.0.0.tar.gz
QuantileModels_1.0.0.tar.gz(r-4.7-arm64)QuantileModels_1.0.0.tar.gz(r-4.7-x86_64)QuantileModels_1.0.0.tar.gz(r-4.6-arm64)QuantileModels_1.0.0.tar.gz(r-4.6-x86_64)
QuantileModels_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
QuantileModels/json (API)
| # Install 'QuantileModels' in R: |
| install.packages('QuantileModels', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Uses libs:
Datasets:
- dataCAViaR - Original caviar data used in Engle & Manganelli (2004).
- MVMQ - Data used in White et al.
- wti_data - Data used in Huang et al. (2009).
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:e385bf57f7. Checks:6 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 180 | ||
| linux-devel-x86_64 | OK | 170 | ||
| source / vignettes | OK | 254 | ||
| linux-release-arm64 | OK | 171 | ||
| linux-release-x86_64 | OK | 160 | ||
| wasm-release | OK | 174 |
Exports:CAViaRMVMQ_CAViaR
Dependencies:chronclicodetoolscpp11crayondigestDistributionUtilsesemifarfarverFNNfracdifffurrrfuturefuture.applyGeneralizedHyperbolicGenSAggplot2globalsgluegtablehmsisobandkernlabKernSmoothkslabelinglatticelifecyclelistenvmagrittrMASSMatrixMatrixModelsmclustmgcvmulticoolmvtnormnlmenloptrnumDerivparallellypkgconfigpracmaprettyunitsprogressprogressrpurrrquantregR6RColorBrewerRcppRcppArmadillorlangRsolnprugarchS7scalesSkewHyperbolicsmootsSparseMspdsurvivaltruncnormufRiskvctrsviridisLitewithrxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| CAViaR model estimation | CAViaR |
| Original caviar data used in Engle & Manganelli (2004). | dataCAViaR |
| Data used in White et al. (2015) | MVMQ |
| MVMQ-CAViaR model estimation proposed by White et al. (2015). | MVMQ_CAViaR |
| Plot CAViaR | plot.CAViaR_estim |
| Plot MVMQ_CAViaR | plot.MVMQ_CAViaR |
| Print CAViaR | print.CAViaR_estim |
| Print MVMQ_CAViaR | print.MVMQ_CAViaR |
| Summary CAViaR | summary.CAViaR_estim |
| Summary MVMQ_CAViaR | summary.MVMQ_CAViaR |
| Data used in Huang et al. (2009). | wti_data |
