Simple VaR calculation in Python, both for single value and VaR series in time. Supported formulas at the moment include: Parametric Normal, Parametric EWMA, Historical Simulation and Filtered Historical Simulation with EWMA.
First, thanks for sharing your work, it's great. i've been trying to employ your code in my returns analysis, i've an issue using the VaR function the plot shows me a negative X axis value. besides, when im trying to use VaR Compare function i get the following error: KeyError: -1
Hello !
First, thanks for sharing your work, it's great. i've been trying to employ your code in my returns analysis, i've an issue using the VaR function the plot shows me a negative X axis value. besides, when im trying to use VaR Compare function i get the following error: KeyError: -1
Could you please help me?