VaRplot: Value at Risk Exceedances plot

In rugarch: Univariate GARCH models

Description

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

Usage

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

rugarch documentation built on May 2, 2019, 4:43 p.m.