1. Search! rseek.org is an R-centric search site that you should always try. A quick search there turned up the PerformanceAnalytics package. There may be others, too.
2. Search the cran task views. There are finance and econometrics task views that should be relevant. 3. Post on a more appropriate mailing list, in this case r-sig-finance, rather than here. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Jun 28, 2016 at 1:40 PM, T.Riedle <tr...@kent.ac.uk> wrote: > Dear all, > As I am working on Value at Risk, I am looking for an appropriate package to > calculate Value at Risk using different methods beyond the historical method. > In doing so, I have found the package jvnVaR which provides several methods > to calculate VaR. Nevertheless, I am interested in calculating the Monte > Carlo VaR and the GARCH (1,1) VaR. > > Does anybody know another package which provides functions to calculate VaR? > > Kind regards > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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 -- To UNSUBSCRIBE and more, see 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.
