Usage: |
VaR = VaRest(y{,method}{,opt})
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Input: |
| y | n x d matrix, the returns of d assets.
|
| method | method for VaR, one of
"RMA" (rectangular moving average),
"EMA" (exponential moving average),
"MAD" (mean absolute deviation),
"EDF" (empirical distribution function).
The default method is "RMA".
|
| opt | optional, a list with optional input. The function
"VaRopt" can be used to set up this parameter.
The order of the list elements is not important.
Parameters which are not given are replaced by
defaults (see below).
|
| opt.h | positive integer, window width.
If not given, set to 250.
|
| opt.lam | positive scalar, parameter for EMA method.
If not given, set to 0.96.
|
| opt.dist | integer, distribution. The default is 0 for
normal, a positive integer denotes the degrees
of freedom when using a t-distribution.
|
| opt.alpha | scalar in (0,1), significance level. The
default is 0.01.
|
| opt.w | scalar, 1 x d or n x d, weights for assets.
If not given, set to 1.
|
| opt.bw | scalar, bandwidth for method "KDQ" for
quantiles from a kernel density estimator.
If not given, chosen by Silverman's rule
of thumb.
|
Output: |
| VaR | (n-h) x 2 vector, the VaR for observations
h+1 to n.
|