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Calculate_​VaR_​using_​R

Calculating the difference ofln(x) and ln(x-1) Predefine and calculate variables/parameters for Window sizeEWMA (Exponantially weighted moving average)HS (Historical Simulation)MA (Moving Average)GARCH Calculate VaR, VaR Violations & VaR Volatility Dummy Index Data-> One value per day Node 38R equivalent:diff(ln(x))Get basic statisticsExplore the dataParametersPropagate R environmentCalculate relativechange:diff(log(x)Column renamePlot returns Python View Line Plot (Plotly) Line Plot Dummy Index data Diff of ln(x) Statistics Data Explorer Variable Creator Conda EnvironmentPropagation R Snippet Merge Variables Table Manipulator Calculate VaR Violation Ratio andVaR volatility Line Plot (Plotly) Calculating the difference ofln(x) and ln(x-1) Predefine and calculate variables/parameters for Window sizeEWMA (Exponantially weighted moving average)HS (Historical Simulation)MA (Moving Average)GARCH Calculate VaR, VaR Violations & VaR Volatility Dummy Index Data-> One value per day Node 38R equivalent:diff(ln(x))Get basic statisticsExplore the dataParametersPropagate R environmentCalculate relativechange:diff(log(x)Column renamePlot returnsPython View Line Plot (Plotly) Line Plot Dummy Index data Diff of ln(x) Statistics Data Explorer Variable Creator Conda EnvironmentPropagation R Snippet Merge Variables Table Manipulator Calculate VaR Violation Ratio andVaR volatility Line Plot (Plotly)

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Created by: JulianBunzel
Created at: 2021-07-21
On NodePit since: 2021-09-10
Last update: 2024-12-17
Created with KNIME version: v4.4.1

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