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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?
You can pass in the parameters are you estimating with EWMA or GARCH using the mu (mean), sigma (co/variance) m3 (co/skewness) and m4(co/kurtosis) arguments.
e.g. blahblah = EWMA(my_time_series)
If you want to take the EWMA approach have a look at cov.wt() from the stats package. It will give you an EWMA volatility, which you can then, given the normal distribution assumption, easily transform into VaR.
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