XploRe Help : VaRqqplot

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:	VaRest VaRopt VaRtimeplot

Quantlet:		VaRqqplot
Description:		visualizes the reliability of VaR forecasts.

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.

Example:

library("VaR") x=read("kupfer") ; time series x=x[1:1001] y=diff(log(x)) ; returns VaR=VaRest(y) ; VaR VaRqqplot(y,VaR) ; QQ plot

Result:

The VaR is estimated and a QQ plot of y/VaR is
displayed.

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) VaRqqplot(y,VaRrma,VaRema,VaRmad,opt)

Result:

The VaR forecasts (using methods RMA, EMA and MAD) are
estimated and plotted together with the portfolio
returns. Additionally, QQ plots of y/VaR are
displayed.

Author: M. Mueller, 20000713