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since this release
It supported:
- four CAViaR specifications in the paper: CAViaR by Engle and Manganelli in 2004, but "a different optimization method".
- frequentist approach by Chen et al. (2012) in the paper: Forecasting Value-at-Risk using nonlinear regression quantiles and the
intra-day range - the original DQ test approach referred to the code in Manganelli's website
It is set as an alpha version since the solution is never giving a satisfied solution. It only has a better solution. So, please use with caution.