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