Usage: |
VaRtimeplot(y,VaR{,VaR1,{,VaR2{,VaR3}}}{,opt})
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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.
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| 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.w | scalar, 1 x d or n x d, weights for assets.
If not given, set to 1.
|
| 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".
|
| opt.style | string vector, line styles for different VaR
functions. Possible values are the line
styles from setmask. The default is "solid".
|
| opt.size | string vector, line thickness for different VaR
functions. Possible values are the line
sizes from setmask. The default is "thin".
|
| opt.data | string vector, contains color, style and size
(in that order) for portfolio data points.
The default is "black"|"point"|"medium".
|
| opt.exceed | string vector, contains color, style and size
(in that order) for points that should be
marked as exceeding the VaR.
The default is "black"|"point"|"medium".
|
| opt.plot | string vector, default is "all" for upper and
lower VaR forecasts, use "low" for lower only.
|
Output: |
| VaRtimeplot | or opt.name+"timeplot",
display, containing portfolio data and VaR
forecasts. |