Our member, Dr. Trung Le, provides an R package to perform MIDAS-based VaR and ES forecasting. This package helps to calculate and predict VaR based on the Conditional Autoregressive Value at Risk (CAViaR) model of Engle and Mnagnelli (2004), MIDAS quantile regression of Ghysels et al. (2016). The package can also help to calculate ES based on the Extreme Value Theory of Manganelli and Engle (2004), and Asymmetric Laplace of Taylor (2019). You can read more (in Vietnamese) and download the package at the link below.
