Questions tagged [normal-inverse-gaussian]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
2
votes
1answer
35 views

Backtesting EGARCH-NIG CVaR in R

I fitted an EGARCH model with a NIG distribution to a series of returns. Using the following link I tried got how I should calculate the CVaR of the model http://r.789695.n4.nabble.com/CVaR-with-NIG-...
1
vote
1answer
54 views

What is wrong in my non-linear estimation sample code?

I am trying to reproduce the code and plot you see here on pages 8,9 and 10 which was coded in MATLAB, but I'd like to convert it to R code. I believe I converted the MATLAB code below to R syntax ...
3
votes
1answer
91 views

What is the tail index for NIG and/or VG?

...as a function of NIG (Normal Inverse Gaussian) or VG (Variance Gamma) parameters, obviously. I've read that the NIG $\alpha$ is related to the $\alpha$-stable tail parameter, which conversely maps ...