Implements a threshold CAViaR model with different parameters for
positive and non-positive returns.
Usage
TCAViaRloop(beta, y, empirical_quantile)
Arguments
- beta
Parameter vector (length 6): two sets of (intercept,
autoregressive, absolute value) coefficients
- y
Vector of returns
- empirical_quantile
Initial empirical quantile estimate
Value
Vector of estimated VaR values