Usage: |
VaRtimeplot(y,VaR{,VaR1,{,VaR2{,VaR3}}}{,opt})
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Input: |
| y | n x d matrix, the returns of d time series.
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| VaR | (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
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| 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.
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| VaR3 | (n-h) x 1 or (n-h) x 2 matrix, VaR forecasts.
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| 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).
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| opt.h | positive integer, window width.
If not given, set to 250.
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| opt.w | scalar, 1 x d or n x d, weights for assets.
If not given, set to 1.
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| 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.
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| opt.color | string vector, colors for different VaR
functions. Possible values are the color
strings from setmask. The default is "black".
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| opt.style | string vector, line styles for different VaR
functions. Possible values are the line
styles from setmask. The default is "solid".
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| opt.size | string vector, line thickness for different VaR
functions. Possible values are the line
sizes from setmask. The default is "thin".
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| opt.data | string vector, contains color, style and size
(in that order) for portfolio data points.
The default is "black"|"point"|"medium".
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| opt.exceed | string vector, contains color, style and size
(in that order) for points that should be
marked as exceeding the VaR.
The default is "black"|"point"|"medium".
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| opt.plot | string vector, default is "all" for upper and
lower VaR forecasts, use "low" for lower only.
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Output: |
| VaRtimeplot | or opt.name+"timeplot",
display, containing portfolio data and VaR
forecasts.
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