| Library: | VaR |
| See also: | VaRest VaRdiagtable VaRgrdiag |
| Quantlet: | VaRdiagplot | |
| Description: | produces calibration and discrimination plots which verify validity of probability forecasts. |
| Usage: | VaRdiagplot(int,sig,real,g) | |
| Input: | ||
| int | mx2 matrix containing intervals in the rows. | |
| sig | nx1 vector of predicted standard deviations (assume normality) | |
| real | nx1 vector of realizations. | |
| g | scalar, number of grid points. | |
library("VaR")
x=read("kupfer") ; time series
x=x[1:1001]
y=diff(log(x)) ; returns
sig=VaRest(y)[,2]/qfn(0.99)
y=y[251:1000]
VaRdiagplot((-0.01~0.01),sig,y,10)
| Library: | VaR |
| See also: | VaRest VaRdiagtable VaRgrdiag |