Description Usage Arguments Details Author(s) See Also Examples
Plots the periodic returns as a bar chart overlayed with a risk metric calculation.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 | chart.BarVaR(
R,
width = 0,
gap = 12,
methods = c("none", "ModifiedVaR", "GaussianVaR", "HistoricalVaR", "StdDev",
"ModifiedES", "GaussianES", "HistoricalES"),
p = 0.95,
clean = c("none", "boudt", "geltner"),
all = FALSE,
...,
show.clean = FALSE,
show.horizontal = FALSE,
show.symmetric = FALSE,
show.endvalue = FALSE,
show.greenredbars = FALSE,
legend.loc = "bottomleft",
ylim = NA,
lwd = 2,
colorset = 1:12,
lty = c(1, 2, 4, 5, 6),
ypad = 0,
legend.cex = 0.8,
plot.engine = "default"
)
charts.BarVaR(
R,
main = "Returns",
cex.legend = 0.8,
colorset = 1:12,
ylim = NA,
...,
perpanel = NULL,
show.yaxis = c("all", "firstonly", "alternating", "none")
)
|
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
width |
periods specified for rolling-period calculations. Note that VaR, ES, 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 |
Used to select the risk parameter of trailing
|
p |
confidence level for |
clean |
the method to use to clean outliers from return data prior to
risk metric estimation. See |
all |
if TRUE, calculates risk lines for each column given in R. If FALSE, only calculates the risk line for the first column |
... |
any other passthru parameters to |
show.clean |
if TRUE and a method for 'clean' is specified, overlays
the actual data with the "cleaned" data. See |
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". |
show.endvalue |
if TRUE, show the final (out of sample) value |
show.greenredbars |
if TRUE, show the per-period returns using green and red bars for positive and negative returns |
legend.loc |
legend location, such as in |
ylim |
set the y-axis limit, same as in |
lwd |
set the line width, same as in |
colorset |
color palette to use, such as in
|
lty |
set the line type, same as in |
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
|
plot.engine |
Choose the engine for plotting, including "default","dygraph","ggplot","plotly" and "googleVis" |
main |
sets the title text, such as in |
cex.legend |
sets the legend text size, such as in
|
perpanel |
default NULL, controls column display |
show.yaxis |
one of "all", "firstonly", "alternating", or "none" to control where y axis is plotted in multipanel charts |
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.
charts.BarVaR
places multile bar charts in a single
graphic, with associated risk measures
Peter Carl
chart.TimeSeries
plot
ES
VaR
Return.clean
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 | ## Not run: # not run on CRAN because of example time
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")
## End(Not run)
|
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