@krzysztofsztompka/garch
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    Type Alias PortfolioTailRiskRequest

    What portfolioTailRisk reads a portfolio's VaR and ES from.

    type PortfolioTailRiskRequest = {
        dcc: DccFit;
        horizon?: number;
        level: number;
        method?: "normal" | "simulated";
        paths?: number;
        seed?: number;
        weights: readonly number[];
    }
    Index
    dcc horizon? level method? paths? seed? weights
    dcc: DccFit
    horizon?: number

    Days of the cumulative return (default 1).

    level: number
    method?: "normal" | "simulated"

    simulated simulates even where the closed form applies; normal refuses where it does not.

    paths?: number

    Simulated paths, when the answer is simulated (default 50 000).

    seed?: number

    The simulation's seed (default 1).

    weights: readonly number[]

    One per asset: the portfolio return is Σ wᵢ·rᵢ.

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