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VaR、ES

  • Category : Algorithm
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  • Update : 2018-01-28
  • Size : 14kb
  • Downloaded :1次
  • Author :冰冰11
  • About : Nobody
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Introduction - If you have any usage issues, please Google them yourself
> da=read.table("d-ibm-0110.txt",header=T) > xt=-log(da$return+1) > install.packages("fGarch") > library(fGarch) > m1=garchFit(~garch(1,1),data=xt,trace=F) > m1
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VaR、ES.docx 17981 2018-01-28
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