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 […]
