XploRe Help : VaRest

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.
	`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.

Author: M. Mueller, 20000713