| 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")