Plots the VaR of a portfolio against holding period assuming that P/L are normally distributed, for specified confidence level and holding period.
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 3 or 4. In case there 3 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
cl VaR confidence level and must be a scalar
hp VaR holding period and must be a vector
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.