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)
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
Windows macOS LinuxCategories
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