## Loading of packages library(fBasics) library(fExtremes) ## Data handling data(DowJones30) DJ <- timeSeries(DowJones30[, -1], charvec = as.character(DowJones30[, 1])) BALoss <- -1.0 * returns(DJ[, "BA"], percentage = TRUE, trim = TRUE) ## MRL-plot mrlPlot(BALoss, umin = -10, umax = 10) ## GPD BAFit <- gpdFit(BALoss, u = 3) ## Diagnostic plots plot(BAFit) ## Risk measures gpdRiskMeasures(BAFit, prob = c(0.95, 0.99, 0.995))