On Tue, Sep 18, 2012 at 6:19 PM, Eko andryanto Prakasa <eko.prak...@yahoo.com> wrote: > > Helloo, > > > i have measure VaR with time dependen volatility (GARCH) and now want to > measure expected shortfall (ES) using cornish fisher expansion (cause > non-normal distribution), but i have limitedness about using R. Could you > help me, how measure that ES with cornish fisher expansion using R.... > > i really need your help. thank you for the attention. >
Take a look at the PerformanceAnalytics package (available off CRAN) and please don't post in HTML next time. Cheers, Michael > > Regards > > Eko > [[alternative HTML version deleted]] > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
