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2013 Mar 04
2
R function for estimating historical-VaR
...responding to index 20 is the daily historical simulation VaR.
I repeat the first step except the window changes the observations from 2 to 2001. Such a process provides 300 one-step ahead VaR.
My function is:
VaR_foc <- function (returns, value = 1000, p = 0.01, n=251) {
T = length(returns)
x_foc = vector(length=n)
N = T-(n+1)
m=sort(returns[1:N])
op = as.integer(N*p) # p % smallest
for (i in 2:n) {
g= returns[i:(N+i)]
ys = sort(g) # sort returns
x_foc[[1]] = -m[op]*value # VaR number
x_foc[i] = -ys[op]*value
}
return(x_foc)
}
VaR_foc (returns=y_IBM)
But the fucntion doesn't work...