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: VaRopt VaRtimeplot VaRqqplot

Quantlet: VaRest
Description: estimates the value at risk (VaR).

Usage: VaR = VaRest(y{,method}{,opt})
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.

Example:

library("VaR")

x=read("kupfer")       ; time series

x=x[1:1001]  

y=diff(log(x))         ; returns

VaR=VaRest(y)          ; VaR 

opt=VaRopt("exceed","blue"|"fillcircle"|"small")

VaRtimeplot(y,VaR,opt) ; VaR time plot

Result:

The VaR forecasts (using method RMA) are plotted 

together with the portfolio returns. Returns which

exceed the VaR are marked in blue.

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)  

Result:

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

together with the portfolio returns.


Library: VaR
See also: VaRopt VaRtimeplot VaRqqplot

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