Value-at-Risk is a method for measuring the risk of extremal losses in financial investments. Nieto and Ruiz (2016) and Kuester et al. (2005) provide a good overview of the subject.

This package is still at an experimental development stage. It has been written in a way to accomondate the needs of my thesis. (If you want to take a look at it you can find it here. The model mentioned as EWMA in the thesis corresponds to the EWMAHistoricalSimulationVaR model in this package. The usual RiskMetrics EWMA model has not been used in the thesis and has been added here as EWMARiskMetricsVaR. The code for the LASSO-GARCH model has not been uploaded at the moment since it was a novel approach that required/requires more research)

Please check the documentation for more regarding use of the package and implementation concerns.

Any feedback is appreciated!

ValueAtRisk is a registered Julia package. To install it , do

add ValueAtRisk

in the Pkg REPL mode (which is entered by pressing ] at the prompt).

Alternatively you may run using Pkg; Pkg.add("ValueAtRisk") at the repl

Check the documentation