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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