Last data update: 2014.03.03
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R: Value at Risk Exceedances plot
Value at Risk Exceedances plot
Description
Plot the VaR at a given coverage rate against the realized returns for the same
period, highlighting the exceedances.
Usage
VaRplot(alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk
Exceedances\n","(alpha=", alpha,")",sep=""), ylab = "Daily Log Returns",
xlab = "Time")
Arguments
alpha |
The quantile (coverage) used for the VaR.
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actual |
An xts object of the realized returns.
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VaR |
An xts object of the forecast VaR, at the given coverage rate p, with the same
index as the actual.
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title |
Plot title.
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xlab |
Plot x-axis label.
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ylab |
Plot y-axis label.
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Author(s)
Alexios Ghalanos
Results
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