VaR.gpd.plots {VaR}R Documentation

Diagnostic Plots for VaR Calculation from GPD Approximation

Description

This function produces some diagnostic plots for VaR estimation using output of VaR.gpd function.

Usage

VaR.gpd.plots(z)

Arguments

z Output of VaR.gpd function

Details

Returns plots of daily return (%), fit of sample distribution, quantile plot, loglikelihood functions for VaR and ES.

Author(s)

T. Daniyarov

See Also

VaR.gpd

Examples

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

[Package VaR version 0.2 Index]