VaR.norm.plots {VaR}R Documentation

Diagnostic Plots for VaR Calculation in Lognormal Approximation

Description

This function produces some diagnostic plots for VaR calculation in lognormal approximation.

Usage

VaR.norm.plots(z)

Arguments

z An object returned by VaR.norm() function

Details

Returns plots of daily log return and of daily log return histogram with the best fit provided by VaR.norm().

Author(s)

T. Daniyarov

See Also

VaR.norm

Examples

data(exchange.rates)
attach(exchange.rates)
y <- USDJPY[!is.na(USDJPY)]
z <- VaR.norm(y)
VaR.norm.plots(z)
detach(exchange.rates)

[Package VaR version 0.2 Index]