XploRe Help : VaRtimeplot

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

Quantlet:		VaRtimeplot
Description:		shows the time plot of VaR forecasts and the associated changes of the P&L of the portfolio.

Usage:	`VaRtimeplot(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.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.

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: Marlene Mueller, 20021108