{ "_id": "6a1049f7acfb0bcc41c9f962", "Type": "Package", "Package": "quarks", "Title": "Simple Methods for Calculating and Backtesting Value at Risk and\nExpected Shortfall", "Version": "1.1.6", "Authors@R": "person(given = \"Sebastian\",\nfamily = \"Letmathe\",\nrole = c(\"aut\", \"cre\"),\nemail = \"sebastian.let@yahoo.com\")", "Description": "Enables the user to calculate Value at Risk (VaR) and\nExpected Shortfall (ES) by means of various types of historical\nsimulation. Currently plain-, age-, volatility-weighted- and\nfiltered historical simulation are implemented in this package.\nVolatility weighting can be carried out via an exponentially\nweighted moving average model (EWMA) or other GARCH-type\nmodels. The performance can be assessed via Traffic Light Test,\nCoverage Tests and Loss Functions. The methods of the package\nare described in Gurrola-Perez, P. and Murphy, D. (2015)\n as well as\nMcNeil, J., Frey, R., and Embrechts, P. (2015)\n.", "License": "GPL-3", "Encoding": "UTF-8", "LazyData": "true", "RoxygenNote": "7.3.3", "Config/pak/sysreqs": "cmake make libicu-dev libuv1-dev libxml2-dev\nlibssl-dev libx11-dev zlib1g-dev", "Repository": "https://letmode.r-universe.dev", "Date/Publication": "2026-01-10 12:34:45 UTC", "RemoteUrl": "https://github.com/letmode/quarks", "RemoteRef": "HEAD", "RemoteSha": "63c79d9951e60c30209c436a025ff445faa3fac9", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-10 08:32:38 UTC", "User": "root" }, "Author": "Sebastian Letmathe [aut, cre]", "Maintainer": "Sebastian Letmathe ", "MD5sum": "216eb3f6eadccb8d90ae1f75706a5c15", "_user": "letmode", "_type": "src", "_file": "quarks_1.1.6.tar.gz", "_fileid": "362db7ad9c38b133585c4b3c09c9a809b718052b62429fc3deab0862cb20453c", "_filesize": 3331679, "_sha256": "362db7ad9c38b133585c4b3c09c9a809b718052b62429fc3deab0862cb20453c", "_created": "2026-05-10T08:32:38.000Z", "_published": "2026-05-22T12:20:07.785Z", "_distro": "noble", "_jobs": [ { "job": 77377950645, "time": 147, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "6902343007" }, { "job": 77377950954, "time": 168, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "6902344970" }, { "job": 77377950538, "time": 160, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "6902430502" }, { "job": 77377950543, "time": 191, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "6902422309" }, { "job": 77377950269, "time": 222, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "6902328615" }, { "job": 77377949974, "time": 145, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7160309268" }, { "job": 77377950485, "time": 129, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "6902341342" }, { "job": 77377950839, "time": 108, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "6902339239" }, { "job": 77377951014, "time": 115, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "6902340003" } ], "_buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/letmode/quarks", "_commit": { "id": "63c79d9951e60c30209c436a025ff445faa3fac9", "author": "Sebastian Letmathe ", "committer": "Sebastian Letmathe ", "message": "Release 1.1.6\n", "time": 1768048485 }, "_maintainer": { "name": "Sebastian Letmathe", "email": "sebastian.let@yahoo.com", "login": "letmode", "uuid": 58297356 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 2.10", "role": "Depends" }, { "package": "dygraphs", "role": "Imports" }, { "package": "ggplot2", "role": "Imports" }, { "package": "graphics", "role": "Imports" }, { "package": "progress", "role": "Imports" }, { "package": "rugarch", "role": "Imports" }, { "package": "shiny", "role": "Imports" }, { "package": "shinyjs", "role": "Imports" }, { "package": "smoots", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "yfR", "role": "Imports" }, { "package": "xts", "role": "Imports" } ], "_owner": "letmode", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2025-39", "n": 1 }, { "week": "2025-41", "n": 1 }, { "week": "2025-42", "n": 1 }, { "week": "2025-43", "n": 1 }, { "week": "2026-01", "n": 1 }, { "week": "2026-02", "n": 1 } ], "_tags": [], "_stars": 1, "_contributors": [ { "user": "letmode", "count": 2, "uuid": 58297356 }, { "user": "firlef", "count": 1, "uuid": 78929239 } ], "_userbio": { "uuid": 58297356, "type": "user", "name": "Letmode" }, "_downloads": { "count": 304, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/quarks" }, "_devurl": "https://github.com/letmode/quarks", "_searchresults": 24, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/NEWS.html", "extra/NEWS.txt", "extra/quarks.html", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_homeurl": "https://github.com/letmode/quarks", "_realowner": "letmode", "_cranurl": true, "_releases": [ { "version": "1.0.0", "date": "2021-02-17" }, { "version": "1.0.1", "date": "2021-02-18" }, { "version": "1.0.2", "date": "2021-02-20" }, { "version": "1.0.3", "date": "2021-02-20" }, { "version": "1.0.4", "date": "2021-02-21" }, { "version": "1.0.5", "date": "2021-03-01" }, { "version": "1.0.6", "date": "2021-04-25" }, { "version": "1.0.7", "date": "2021-09-02" }, { "version": "1.0.8", "date": "2021-09-03" }, { "version": "1.0.9", "date": "2021-09-06" }, { "version": "1.0.10", "date": "2021-11-21" }, { "version": "1.0.11", "date": "2022-01-09" }, { "version": "1.1.0", "date": "2022-03-31" }, { "version": "1.1.1", "date": "2022-06-13" }, { "version": "1.1.2", "date": "2022-06-20" }, { "version": "1.1.3", "date": "2022-08-31" }, { "version": "1.1.4", "date": "2024-06-08" }, { "version": "1.1.5", "date": "2025-10-13" }, { "version": "1.1.6", "date": "2026-01-10" } ], "_exports": [ "cvgtest", "ewma", "fhs", "hs", "lossfun", "plop", "rollcast", "runFTSdata", "trftest", "vwhs" ], "_datasets": [ { "name": "DAX", "title": "German Stock Market Index (DAX) Financial Time Series Data", "object": "DAX", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 6094, "table": true, "tojson": true }, { "name": "DJI", "title": "Dow Jones Industrial Average (DJI) Financial Time Series Data", "object": "DJI", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 6037, "table": true, "tojson": true }, { "name": "FTSE100", "title": "Financial Times Stock Exchange Index (FTSE) Financial Time Series Data", "object": "FTSE100", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 6060, "table": true, "tojson": true }, { "name": "HSI", "title": "Hang Seng Index (HSI) Financial Time Series Data", "object": "HSI", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 5914, "table": true, "tojson": true }, { "name": "NIK225", "title": "Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data", "object": "NIK225", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 5881, "table": true, "tojson": true }, { "name": "SP500", "title": "Standard and Poor's (SP500) Financial Time Series Data", "object": "SP500", "class": [ "tbl_df", "tbl", "data.frame" ], "fields": [ "ticker", "ref_date", "price_open", "price_high", "price_low", "price_close", "volume", "price_adjusted", "ret_adjusted_prices", "ret_closing_prices", "cumret_adjusted_prices" ], "rows": 6037, "table": true, "tojson": true } ], "_help": [ { "page": "cvgtest", "title": "Unconditional and Conditional Coverage Tests, Independence Test", "topics": [ "cvgtest" ] }, { "page": "DAX", "title": "German Stock Market Index (DAX) Financial Time Series Data", "topics": [ "DAX" ] }, { "page": "DJI", "title": "Dow Jones Industrial Average (DJI) Financial Time Series Data", "topics": [ "DJI" ] }, { "page": "ewma", "title": "Exponentially weighted moving average", "topics": [ "ewma" ] }, { "page": "fhs", "title": "Filtered historical simulation", "topics": [ "fhs" ] }, { "page": "FTSE100", "title": "Financial Times Stock Exchange Index (FTSE) Financial Time Series Data", "topics": [ "FTSE100" ] }, { "page": "hs", "title": "Nonparametric calculation of univariate Value at Risk and Expected Shortfall", "topics": [ "hs" ] }, { "page": "HSI", "title": "Hang Seng Index (HSI) Financial Time Series Data", "topics": [ "HSI" ] }, { "page": "lossfun", "title": "Loss Functions", "topics": [ "lossfun" ] }, { "page": "NIK225", "title": "Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data", "topics": [ "NIK225" ] }, { "page": "plop", "title": "Profit & Loss operator function", "topics": [ "plop" ] }, { "page": "plot.quarks", "title": "Plot Method for the Package 'quarks'", "topics": [ "plot.quarks" ] }, { "page": "print.quarks", "title": "Print Method for the Package 'quarks'", "topics": [ "print.quarks" ] }, { "page": "rollcast", "title": "Rolling one-step ahead forecasts of Value at Risk and Expected Shortfall", "topics": [ "rollcast" ] }, { "page": "runFTSdata", "title": "Application for downloading data from Yahoo Finance", "topics": [ "runFTSdata" ] }, { "page": "SP500", "title": "Standard and Poor`s (SP500) Financial Time Series Data", "topics": [ "SP500" ] }, { "page": "trftest", "title": "Backtesting of Value-at-Risk via Traffic Light Test", "topics": [ "trftest" ] }, { "page": "vwhs", "title": "Volatility weighted historical simulation", "topics": [ "vwhs" ] } ], "_readme": "https://github.com/letmode/quarks/raw/HEAD/README.md", "_rundeps": [ "askpass", "base64enc", "bit", "bit64", "bslib", "cachem", "chron", "cli", "clipr", "codetools", "commonmark", "cpp11", "crayon", "curl", "digest", "DistributionUtils", "dplyr", "dygraphs", "evaluate", "farver", "fastmap", "FNN", "fontawesome", "fracdiff", "fs", "furrr", "future", "future.apply", "GeneralizedHyperbolic", "generics", "ggplot2", "globals", "glue", "gtable", "highr", "hms", "htmltools", "htmlwidgets", "httpuv", "httr", "isoband", "janitor", "jquerylib", "jsonlite", "kernlab", "KernSmooth", "knitr", "ks", "labeling", "later", "lattice", "lifecycle", "listenv", "lubridate", "magrittr", "MASS", "Matrix", "mclust", "memoise", "mgcv", "mime", "multicool", "mvtnorm", "nlme", "nloptr", "numDeriv", "openssl", "otel", "parallelly", "pillar", "pingr", "pkgconfig", "pracma", "prettyunits", "processx", "progress", "progressr", "promises", "ps", "purrr", "quantmod", "R6", "rappdirs", "RColorBrewer", "Rcpp", "RcppArmadillo", "readr", "rlang", "rmarkdown", "Rsolnp", "rugarch", "rvest", "S7", "sass", "scales", "selectr", "shiny", "shinyjs", "SkewHyperbolic", "smoots", "snakecase", "sourcetools", "spd", "stringi", "stringr", "sys", "tibble", "tidyr", "tidyselect", "timechange", "tinytex", "truncnorm", "TTR", "tzdb", "utf8", "vctrs", "viridisLite", "vroom", "withr", "xfun", "xml2", "xtable", "xts", "yaml", "yfR", "zoo" ], "_score": 3.857332496431268, "_indexed": true, "_nocasepkg": "quarks", "_universes": [ "letmode" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "1.1.6", "date": "2026-05-10T08:34:53.000Z", "distro": "noble", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "3b5f98c19c2589832ed32c73e429a653a1b0310d142778c8c3f7981d0441bf9f", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.6.0", "os": "linux", "version": "1.1.6", "date": "2026-05-10T08:35:13.000Z", "distro": "noble", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "abf0306caf003e300d25b91aa2a4a1e25c04e584ba8ce87f7aa5446a4cc65812", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.5.3", "os": "mac", "version": "1.1.6", "date": "2026-05-10T08:48:35.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "10c3d69f2e87513ef74a50566c9015d3a18b0f2653a2126d26c1c42c094bec26", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.6.0", "os": "mac", "version": "1.1.6", "date": "2026-05-10T08:47:15.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "394a512a0e1d148868a0edb0c3398a6c861689940ace3a71a4105528bda5c41d", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.7.0", "os": "win", "version": "1.1.6", "date": "2026-05-10T08:34:25.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "1dca489c7ef9049c99fa80f9972f183a2aec09164734a9c7a7d0c84533de0c4e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.5.3", "os": "win", "version": "1.1.6", "date": "2026-05-10T08:34:07.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "55979d350402f27504126d8a88a244c4641f333a3d7b3f922d7f9d8b215a6cd1", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.6.0", "os": "win", "version": "1.1.6", "date": "2026-05-10T08:34:02.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "20643769b4a3b291f3f91176e43e672d2501e0d52b322c15f0ecd9f32e4dfe51", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" }, { "r": "4.6.0", "os": "wasm", "version": "1.1.6", "date": "2026-05-22T12:19:37.000Z", "commit": "63c79d9951e60c30209c436a025ff445faa3fac9", "fileid": "d6d281eb3339f788aca5ffd901b57724ad549fd066de9b2acfe1eba2628660cf", "status": "success", "buildurl": "https://github.com/r-universe/letmode/actions/runs/25624057421" } ] }