RollingVaR for a panel data structure?

[pinpss]

Hello talaikis,

Thank you for your code. It is really helpful, since there are no documentation about the rolling VaR elsewhere.
From my side, I want to implement the code for a panel DataFrame (for i stocks, and t time). However, I am struggling to adapt the code for that purpose. I don't know if this is the best way to reach for an answer.

Thank you for any advice!