Cornish-Fisher VaR

Version 1.2.0.0 (1.21 KB) by Tal Shir
Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment)
1.0
(1)
2.1K Downloads
Updated 9 Mar 2009

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Rt: returns series
alpha: VaR level
OUTPUT:
CFVAR: Cornish fisher VaR with alpha probability and time horizon as the returns series frequancy

Cite As

Tal Shir (2024). Cornish-Fisher VaR (https://www.mathworks.com/matlabcentral/fileexchange/22998-cornish-fisher-var), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.2.0.0

Spelling Mistake
1.1.0.0

Fixing an error in the formula. Excess kurtosis Was not well defined.
1.0.0.0