LogtVaRPlot2DHP: Plots log-t VaR against holding period

Description Usage Arguments Author(s) References Examples

View source: R/LogtVaRPlot2DHP.R

Description

Plots the VaR of a portfolio against holding period assuming that geometric returns are Student t distributed, for specified confidence level and holding period.

Usage

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Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily geometric return data

mu Mean of daily geometric return data

sigma Standard deviation of daily geometric return data

investment Size of investment

df Number of degrees of freedom in the t distribution

cl VaR confidence level and must be a scalar

hp VaR holding period and must be a vector

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

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# Computes VaR given geometric return data
   data <- runif(5, min = 0, max = .2)
   LogtVaRPlot2DHP(returns = data, investment = 5, df = 6, cl = .95, hp = 60:90)

   # Computes VaR given mean and standard deviation of return data
   LogtVaRPlot2DHP(mu = .012, sigma = .03, investment = 5, df = 6, cl = .99, hp = 40:80)

Dowd documentation built on May 30, 2017, 1:30 a.m.