Unfortunately for you, there is a no-homework policy on this list. Please read the Posting Guide. --------------------------------------------------------------------------- Jeff Newmiller The ..... ..... Go Live... DCN:<jdnew...@dcn.davis.ca.us> Basics: ##.#. ##.#. Live Go... Live: OO#.. Dead: OO#.. Playing Research Engineer (Solar/Batteries O.O#. #.O#. with /Software/Embedded Controllers) .OO#. .OO#. rocks...1k --------------------------------------------------------------------------- Sent from my phone. Please excuse my brevity.
On December 22, 2014 5:17:52 AM PST, ESMERALDA PODA <podaesmera...@gmail.com> wrote: >Hi everybody, > >This is the homework I am trying to solve. > >Ex. Assume that you have a position of 144530 shares of Bill inc.. The >object Y2 contains an iid sample of the returns for these shares. >Assume >that data follow a Student distribution. > > 1. > > Compute the maximum likelihood estimate for the model. > 2. > > Compute the estimation of V aRα and of ESα for α = 0.99 based on the >obtained estimates, using a parametric formula or with the pure Monte >Carlo > method >3. Obtain a bootstrap confidence interval for V aRα and of ESα for α = >0 > .99 at a confidence level 0.90, using B = 1000 replications. > >I solved point 1. (you can see the screenshot attached). >However in point 2, where I have to compute VaR and ES, based on the >estimates obtained in point 1. I typed this: > >#POINT 2 > >q<-114530 > >n.val <- 10000 > >x <- rt(n=n.val, obj=mle.t) > >loss.mc <- -Q*x > >but, I obtain error. I am working with a student distribution. I need >particularly >the obj=mle.t since I need to work on the estimate I have obtained. > >Can somebody, who is familiar with VaR and ES give me some hint through >this? > >I would really appreciate this. > >Best > >Esmeralda > > >------------------------------------------------------------------------ > >______________________________________________ >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.