Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRest VaRopt VaRtimeplot

Quantlet: VaRqqplot
Description: visualizes the reliability of VaR forecasts.

Usage: VaRqq(y,VaR{,VaR1,{,VaR2{,VaR3}}}{,opt})
Input:
y n x d matrix, the returns of d time series.
VaR (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
VaR1 (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
VaR2 (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
VaR3 (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
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.name string, prefix for the output. If not given, "VaR" is used.
opt.title string, title for the output. If not given, a default is set.
opt.color string vector, colors for different VaR functions. Possible values are the color strings from setmask. The default is "black".
Output:
VaRqqplot or opt.name+"qqplot", display, containing portfolio data and VaR forecasts.

Example:

library("VaR")

x=read("kupfer")      ; time series

x=x[1:1001]  

y=diff(log(x))        ; returns

VaR=VaRest(y)         ; VaR 

VaRqqplot(y,VaR)      ; QQ plot

Result:

The VaR is estimated and a QQ plot of y/VaR is

displayed.

Example:

library("VaR")

x=read("kupfer")       ; time series

x=x[1:1001]  

y=diff(log(x))         ; returns

VaRrma=VaRest(y,"RMA") ; VaR using RMA 

VaRema=VaRest(y,"EMA") ; VaR using EMA

VaRmad=VaRest(y,"MAD") ; VaR using MAD

opt=VaRopt("color","red"|"blue"|"green")

VaRtimeplot(y,VaRrma,VaRema,VaRmad,opt)  

VaRqqplot(y,VaRrma,VaRema,VaRmad,opt)

Result:

The VaR forecasts (using methods RMA, EMA and MAD) are

estimated and plotted together with the portfolio

returns. Additionally, QQ plots of y/VaR are 

displayed.


Library: VaR
See also: VaRest VaRopt VaRtimeplot

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Marlene Mueller, 2000/07/13
(C) MD*TECH Method and Data Technologies, 21.9.2000