Hiii
I have tried to measure ES with cornish fisher expansion using
PerformanceAnalytics package, but i still confuse because to measure volatility
i use GARCH model and i don't know how to consolidate it with ES in
PerformanceAnalytics package......
i have measured ES under normality using formula
ES=sqrt(S)*dnorm(qnorm(p))*value
Where S is volatility that I got from GARCH model; p is probability that is 5%.
and to get ES under nonnormal, I modified the formula above become
ES=sqrt(S)*dnorm(ZES)*value
where ZES is alpha prime and obtained from
ZES = Zscore-(1/6*(p square -1)*skewness).....
but the result is less than VaR (that its volatility used GARCH model) so its
not reasonable, cause ES should larger than VaR
Do you have any idea, suggesition or solution ?
Thanks for the attention...
Eko
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