chart.BarVaR {PerformanceAnalytics} | R Documentation |

Plots the periodic returns in a bar chart overlayed with a risk metric calculation.

chart.BarVaR(R, width = 0, gap = 12, methods = c("none", "ModifiedVaR", "GaussianVaR", "HistoricalVaR", "StdDev", "ModifiedES", "GaussianES", "HistoricalES"), clean = c("none", "boudt","geltner"), ylim = NA, lwd = 2, colorset = 1:12, p=.95, lty = c(1,2,4,5,6), all = FALSE, show.clean = FALSE, show.horizontal = FALSE, show.symmetric = FALSE, legend.loc="bottomleft", ypad=0, legend.cex = 0.8, ...)

`R` |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |

`width` |
periods specified for rolling-period calculations. Note that VaR and Std Dev with width=0 are calculated from the start of the timeseries |

`gap` |
numeric number of periods from start of series to use to train risk calculation |

`methods` |
any of StdDev, HistoricalVaR, GaussianVaR, or ModifiedVaR, defaults to HistoricalVaR and ModifiedVaR |

`p` |
confidence level for `VaR` or `ModifiedVaR` calculation, default is .99 |

`ylim` |
set the y-axis limit, same as in `plot` |

`lwd` |
set the line width, same as in `plot` |

`lty` |
set the line type, same as in `plot` |

`all` |
if TRUE, calculates risk lines for each column given in R. If FALSE, only calculates the risk line for the first column |

`show.clean` |
if TRUE and a method for 'clean' is specified, overlays the actual data with the "cleaned" data. See `Return.clean` for more detail |

`clean` |
the method to use to clean outliers from return data prior to risk metric estimation. See `Return.clean` and `VaR` for more detail |

`show.horizontal` |
if TRUE, shows a line across the timeseries at the value of the most recent VaR estimate, to help the reader evaluate the number of exceptions thus far |

`show.symmetric` |
if TRUE and the metric is symmetric, this will show the metric's positive values as well as negative values, such as for method "StdDev". |

`legend.loc` |
legend location, such as in `chart.TimeSeries` |

`ypad` |
adds a numerical padding to the y-axis to keep the data away when legend.loc="bottom". See examples below. |

`legend.cex` |
sets the legend text size, such as in `chart.TimeSeries` |

`colorset` |
color palette to use, set by default to rational choices |

`...` |
any other passthru parameters to `chart.TimeSeries` |

Note that `StdDev`

and `VaR`

are symmetric calculations, so a high and low measure will be plotted. `ModifiedVaR`

, on the other hand, is assymetric and only a lower bound will be drawn.

Creates a plot of time on the x-axis and vertical lines for each period to indicate value on the y-axis. Overlays a line to indicate the value of a risk metric calculated at that time period.

Peter Carl

`chart.TimeSeries`

`plot`

`VaR`

`VaR`

`Return.clean`

data(managers) # plain chart.BarVaR(managers[,1,drop=FALSE], main="Monthly Returns") # with risk line chart.BarVaR(managers[,1,drop=FALSE], methods="HistoricalVaR", main="... with Empirical VaR from Inception") # with lines for all managers in the sample chart.BarVaR(managers[,1:6], methods="GaussianVaR", all=TRUE, lty=1, lwd=2, colorset= c("red", rep("gray", 5)), main="... with Gaussian VaR and Estimates for Peers") # with multiple methods chart.BarVaR(managers[,1,drop=FALSE],methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), main="... with Multiple Methods") # cleaned up a bit chart.BarVaR(managers[,1,drop=FALSE],methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), lwd=2, ypad=.01, main="... with Padding for Bottom Legend") # with 'cleaned' data for VaR estimates chart.BarVaR(managers[,1,drop=FALSE],methods=c("HistoricalVaR", "ModifiedVaR"), lwd=2, ypad=.01, clean="boudt", main="... with Robust ModVaR Estimate") # Cornish Fisher VaR estimated with cleaned data, with horizontal line to show exceptions chart.BarVaR(managers[,1,drop=FALSE],methods="ModifiedVaR", lwd=2, ypad=.01, clean="boudt", show.horizontal=TRUE, lty=2, main="... with Robust ModVaR and Line for Identifying Exceptions")

[Package *PerformanceAnalytics* version 0.9.9-5 Index]