| chart.VaRSensitivity {PerformanceAnalytics} | R Documentation |
Creates a chart of Value-at-Risk estimates by confidence interval for multiple methods.
chart.VaRSensitivity(R, methods = c("GaussianVaR", "ModifiedVaR", "HistoricalVaR","GaussianES", "ModifiedES", "HistoricalES"), clean = c("none", "boudt", "geltner"), elementcolor = "darkgray", reference.grid = TRUE, xlab = "Confidence Level", ylab = "Value at Risk", type = "l", lty = c(1, 2, 4), lwd = 1, colorset = (1:12), pch = (1:12), legend.loc = "bottomleft", cex.legend = 0.8, main = NULL, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
methods |
one or more calculation methods indicated "GaussianVaR", "ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES". See VaR or ES for more detail. |
clean |
method for data cleaning through Return.clean. Current options are "none" or "boudt" or
"geltner". |
elementcolor |
the color used to draw chart elements. The default is "darkgray" |
reference.grid |
if true, draws a grid aligned with the points on the x and y axes |
ylab |
set the y-axis label, same as in plot |
xlab |
set the x-axis label, same as in plot |
type |
set the chart type, same as in plot |
lty |
set the line type, same as in plot |
lwd |
set the line width, same as in plot |
colorset |
color palette to use, set by default to rational choices |
pch |
symbols to use, see also plot |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
cex.legend |
The magnification to be used for sizing the legend relative to the current setting of 'cex'. |
main |
set the chart title, same as in plot |
... |
any other passthru parameters |
This chart shows estimated VaR along a series of confidence intervals for selected calculation methods. Useful for comparing a method to the historical VaR calculation.
Peter Carl
Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk, forthcoming.
data(managers)
chart.VaRSensitivity(managers[,1,drop=FALSE], methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), colorset=bluefocus, lwd=2)