Quantnet :: Show

  rm(list=ls(all=TRUE))
  graphics.off()
  install.packages("fExtremes")
  library(fExtremes)
PL = read.table("XFGPL3.dat")
MMPL = read.table("XFGMMPL3.dat")
  n = nrow(PL)
  j = 1
  VaRSu = NULL
  while (j<=n){
    Vinput = t(PL[j,])
    temp = VaR(Vinput, alpha=0.01,type="sample", tail=c("upper"))
    VaRSu[j] = temp
    j=j+1
  }
  j = 1
  VaRSl = NULL
  while (j<=n){
    Vinput = t(PL[j,])
    temp = VaR(Vinput, alpha=0.01,type="sample", tail=c("lower"))
    VaRSl[j] = temp
    j=j+1
  }
  x = 1:nrow(MMPL)
plot(x,t(MMPL),type="p",pch=19,cex=0.15, ylab=paste("Returns*",expression(E-3)), xlab=paste("Time*",expression(E2)), main="VaR Timeplot", axes=F, frame=T, ylim=c(-0.016,0.016))
  axis(side=1, at=seq(0,1500,500),labels=seq(0,15,5))
  axis(side=2, at=seq(-0.015,0.015,0.005),labels=seq(-15,15,5))
lines(VaRSl,col="red3", lwd=1.5)
lines(VaRSu,col="red3", lwd=1.5)
VaRqqplot = function(y,VaR0){
y = as.vector(MMPL)
  bad=(nrow(y)>2)
  if(bad==FALSE){ paste("y must be vector or matrix")}
  n = nrow(y)
  d = ncol(y)
  h=0
  w=matrix(1,1,d)
  p=apply(y*w,1,sum) # portfolio
  p=p[(h+1):n]
  qn=qnorm(((1:(n-h))-0.5)/(n-h),0,1) # compute quantiles of a standard normal
  tmp=p/c(VaR0)
  line=c(min(-4,min(qn),min(tmp)),max(4,max(qn),max(tmp)))
  VaRqq=cbind(sort(qn),sort(tmp))
dev.new()
qqplot(VaRqq[,1],VaRqq[,2],ylim=c(-4,4),xlim=c(-4,4),pch=19,cex=0.3,col="red3",main="VaR reliability plot", ylab="L/VaR quantiles", xlab="normal quantiles")
lines(line,line,lwd=2)
}
VaRqqplot(MMPL,VaRSl)