chart.BarVaR {PerformanceAnalytics} | R Documentation |
Plots the periodic returns in a bar chart overlayed with a risk metric calculation.
chart.BarVaR(R, width = 0, gap = 12, methods = c("none", "ModifiedVaR","GaussianVaR","HistoricalVaR", "StdDev"), clean = c("none", "boudt"), reference.grid = TRUE, xaxis = TRUE, main = "Title", ylab="Value", xlab="Date", date.format = "%m/%y", xlim = NA, ylim = NA, lwd = 1, colorset = 1:12, p=.99, lty = c(1,2,4,5,6), all = FALSE, show.clean = FALSE, show.horizontal = FALSE, show.symmetric = FALSE, legend.loc="bottomleft", ypad=0, legend.cex = 0.8, ...)
R |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
width |
periods specified for rolling-period calculations. Note that VaR 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 |
any of StdDev, HistoricalVaR, GaussianVaR, or ModifiedVaR, defaults to HistoricalVaR and ModifiedVaR |
p |
confidence level for VaR or ModifiedVaR calculation, default is .99 |
reference.grid |
if true, draws a grid aligned with the points on the x and y axes |
xaxis |
if true, draws the x axis |
main |
set the chart title, same as in plot |
ylab |
set the y-axis label, same as in plot |
xlab |
set the x-axis label, same as in plot |
date.format |
re-format the dates for the xaxis; the default is "%m/%y" |
xlim |
set the x-axis limit, same as in plot |
ylim |
set the y-axis limit, same as in plot |
lwd |
set the line width, same as in plot |
lty |
set the line type, same as in plot |
all |
if TRUE, calculates risk lines for each column given in R. If FALSE, only calculates the risk line for the first column |
show.clean |
|
clean |
|
show.horizontal |
|
show.symmetric |
|
legend.loc |
|
ypad |
|
legend.cex |
|
colorset |
color palette to use, set by default to rational choices |
... |
any other passthru parameters |
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.
Peter Carl
chart.TimeSeries
plot
VaR
VaR.CornishFisher
Return.clean
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")