Usage: |
VaRqq(y,VaR{,VaR1,{,VaR2{,VaR3}}}{,opt})
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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.
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| 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.
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| 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.
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