util_var
Calculate Value at Risk (VaR) for a return series to estimate the maximum expected loss percentage at a given confidence level.
Instructions
计算风险价值 (VaR)。在给定置信度下,预计的最大亏损百分比
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | 收益率数组(如日收益率序列) | |
| confidence | No | 置信度(0.95 表示 95%) |