Loss dataset

Matrix of Value at Risk losses coming from 10 ARCH-type models

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  • Maintainer: Leopoldo Catania
  • License: GPL-2
  • Last published: 2017-08-04

About the dataset

  • Number of rows: 2000
  • Number of columns: 40
  • Class: xts, zoo

Column names and types (First 10)

  • sGARCH-norm:numeric
  • sGARCH-std:numeric
  • sGARCH-ged:numeric
  • sGARCH-snorm:numeric
  • sGARCH-sstd:numeric
  • sGARCH-sged:numeric
  • sGARCH-jsu:numeric
  • sGARCH-ghyp:numeric
  • eGARCH-norm:numeric
  • eGARCH-std:numeric