Message-ID: <022201d4be37$f043f050$d0cbd0f0$@gmail.com>
Date: 2019-02-06T16:20:54Z
From: Harry Holt
Subject: Daily Prices, need VaR for longer periods
I am using performance analytics and Quantmod packages. The data is daily
stock returns, I am calculating VaR (Port.returns, p=0.95, weights =
weights, portfolio_method = "Component", method="modified"). This gives me
the Cornish Fisher VaR - daily risk. Is there a way still using daily
prices and get longer risk periods (VaR), such as one month, or quarter?
Thanks
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