IF.VaRratio: Influence Function - Value at Risk (VaR) Ratio

In RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures

Description

IF.VaRratio returns the data and plots the shape of either the IF or the IF TS for the VaR Ratio.

Usage

IF.VaRratio(
  returns = NULL,
  evalShape = FALSE,
  retVals = NULL,
  nuisPars = NULL,
  k = 4,
  IFplot = FALSE,
  IFprint = TRUE,
  alpha = 0.05,
  rf = 0,
  prewhiten = FALSE,
  ar.prewhiten.order = 1,
  cleanOutliers = FALSE,
  cleanMethod = c("locScaleRob")[1],
  eff = 0.99,
  ...
)

Arguments

returns	Returns data of the asset or portfolio. This can be a numeric or an xts object.
evalShape	Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed.
retVals	Values used to evaluate the shape of the IF.
nuisPars	Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided).
k	Range parameter for the shape of the IF (the SD gets multiplied k times).
IFplot	If TRUE, the plot of the IF shape or IF TS of the returns is produced.
IFprint	If TRUE, the data for the IF shape or the IF TS of the returns is returned.
alpha	The tail probability of interest.
rf	Risk-free interest rate.
prewhiten	Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE).
ar.prewhiten.order	Order of AR parameter for the pre-whitening. Default is AR(1).
cleanOutliers	Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator.
cleanMethod	Robust method used to clean outliers from the TS. Default choice is "locScaleRob".
eff	Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning.
...	Additional parameters.

Details

For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.

Value

Influence function of the VaRratio.

Author(s)

Anthony-Alexander Christidis, [e-mail]

Examples

# Plot of IF with nuisance parameter with return value
outIF <- IF.VaRratio(returns = NULL, evalShape = TRUE, 
                     retVals = NULL, nuisPars = NULL,
                     IFplot = TRUE, IFprint = TRUE)

data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF") 

# Plot of IF a specified TS 
outIF <- IF.VaRratio(returns = edhec[,"CA"], evalShape = TRUE, 
                     retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
                     IFplot = TRUE, IFprint = TRUE)

# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.VaRratio(returns = edhec[,"CA"], evalShape = FALSE, 
                     retVals = NULL, nuisPars = NULL,
                     IFplot = TRUE, IFprint = TRUE,
                     prewhiten = FALSE)

RPEIF documentation built on Oct. 14, 2021, 5:22 p.m.