Value at Risk Exceedances plot

Description

Plot the VaR at a given coverage rate against the realized returns for the same period, highlighting the exceedances.

Usage

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VaRplot(alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk 
Exceedances\n","(alpha=", alpha,")",sep=""), ylab = "Daily Log Returns", 
xlab = "Time")

Arguments

alpha

The quantile (coverage) used for the VaR.

actual

An xts object of the realized returns.

VaR

An xts object of the forecast VaR, at the given coverage rate p, with the same index as the actual.

title

Plot title.

xlab

Plot x-axis label.

ylab

Plot y-axis label.

Author(s)

Alexios Ghalanos

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