Is there a way to upgrade R PerformanceAnalytics function VaR with more risk sensitive approaches like EWMA or GARCH? Or is there another R package which can handle the issue?
My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...
I'd like to use the PerformanceAnalytics R package to view various metrics from a list of trades with profit values. From looking at the documentation from the PerformanceAnalytics package that most ...