XlQuant
In This Topic
    GET.VaR.EGARCH
    In This Topic
    Returns the VaR of a stationary series estimated via the EGARCH model

    ARGUMENTS

    Returns Vector of returns Matrix
    AR Number of autoregressives terms (>=0) Integer
    MA Number of moving average terms (>=0) Integer
    Arch Number of Arch terms (>=0) Integer
    Garch Number of Garch terms (>=0) Integer
    Distribution Error's term distribution ("NORMAL", "STUDENT" or "SKEWT") Text
    Level VaR Level ( 0<level <1) Real number
    This function is asynchronous.